Spillover Effect of International Market on Latin American Economies: The Cases of Chile, Brazil, Colombia and Mexico
In this research, the effects of spillover and volatility generated by oil, gas and coal prices on the industrial activity of the Chile, Brazil, Colombia and Mexico economies are evaluated using the methodology proposed by Debold and Yilmaz (2012), characterized by the use of generalized autoregress...
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| Format: | Online |
| Language: | spa |
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Universidad Pedagógica y Tecnológica de Colombia
2020
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| Online Access: | https://revistas.uptc.edu.co/index.php/cenes/article/view/10876 |
| _version_ | 1801705964149145600 |
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| author | Candelo-Viafara, Juan Manuel Oviedo-Gómez, Andrés Felipe |
| author_facet | Candelo-Viafara, Juan Manuel Oviedo-Gómez, Andrés Felipe |
| author_sort | Candelo-Viafara, Juan Manuel |
| collection | OJS |
| description | In this research, the effects of spillover and volatility generated by oil, gas and coal prices on the industrial activity of the Chile, Brazil, Colombia and Mexico economies are evaluated using the methodology proposed by Debold and Yilmaz (2012), characterized by the use of generalized autoregressive vectors, where the variance decomposition does not vary according to the order of the variables, thus measuring the contagion effects of total and directional volatility. The results show that these industries receive the financial spillover from the raw materials markets, caused by fluctuations in the prices of oil and coal, and, in addition, behave as transmitters of the spillover caused by the fluctuations in gas prices. On the other hand, it was found that, months before the 2008 economic crisis, the four industries and these products increased their spillover effect and volatility. |
| format | Online |
| id | oai:oai.revistas.uptc.edu.co:article-10876 |
| institution | Revista Apuntes del Cenes |
| language | spa |
| publishDate | 2020 |
| publisher | Universidad Pedagógica y Tecnológica de Colombia |
| record_format | ojs |
| spelling | oai:oai.revistas.uptc.edu.co:article-108762022-06-17T21:35:42Z Spillover Effect of International Market on Latin American Economies: The Cases of Chile, Brazil, Colombia and Mexico Efecto derrame del mercado internacional en las economías latinoamericanas: los casos de Chile, Brasil, Colombia y México Candelo-Viafara, Juan Manuel Oviedo-Gómez, Andrés Felipe spillover effect; oil prices; coal prices; gas prices; economic growth; efecto derrame; precios del petróleo; precios del carbón; precios del gas; crecimiento económico; In this research, the effects of spillover and volatility generated by oil, gas and coal prices on the industrial activity of the Chile, Brazil, Colombia and Mexico economies are evaluated using the methodology proposed by Debold and Yilmaz (2012), characterized by the use of generalized autoregressive vectors, where the variance decomposition does not vary according to the order of the variables, thus measuring the contagion effects of total and directional volatility. The results show that these industries receive the financial spillover from the raw materials markets, caused by fluctuations in the prices of oil and coal, and, in addition, behave as transmitters of the spillover caused by the fluctuations in gas prices. On the other hand, it was found that, months before the 2008 economic crisis, the four industries and these products increased their spillover effect and volatility. En esta investigación se evalúan los efectos del desbordamiento y la volatilidad generados por los precios del petróleo, el gas y el carbón sobre la actividad industrial de las economías de Chile, Brasil, Colombia y México, usando la metodología propuesta por Diebold y Yilmaz (2012), que se caracteriza por el uso de vectores autorregresivos generalizados, donde la descomposición de la varianza no varía según el orden de las variables, midiendo así los efectos de contagio de la volatilidad total y direccional. Los resultados muestran que estas industrias reciben el derrame financiero de los mercados de materias primas, ocasionado por las fluctuaciones de los precios del petróleo y carbón y, además, se comportan como transmisoras del derrame que producen las oscilaciones de los precios del gas. Por otro lado, se halló que meses previos a la crisis económica del 2008, las cuatro industrias y dichos productos aumentaron el efecto derrame y la volatilidad. Universidad Pedagógica y Tecnológica de Colombia 2020-08-11 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Peer reviewed Article application/pdf text/xml https://revistas.uptc.edu.co/index.php/cenes/article/view/10876 10.19053/01203053.v39.n70.2020.10876 Apuntes del Cenes; Vol. 39 No. 70 (2020); 107-138 Apuntes del Cenes; Vol. 39 Núm. 70 (2020); 107-138 2256-5779 0120-3053 spa https://revistas.uptc.edu.co/index.php/cenes/article/view/10876/9836 https://revistas.uptc.edu.co/index.php/cenes/article/view/10876/11553 Copyright (c) 2020 Juan Manuel Candelo-Viafara, Andrés Felipe Oviedo-Gómez http://creativecommons.org/licenses/by-nc-sa/4.0 |
| spellingShingle | spillover effect; oil prices; coal prices; gas prices; economic growth; efecto derrame; precios del petróleo; precios del carbón; precios del gas; crecimiento económico; Candelo-Viafara, Juan Manuel Oviedo-Gómez, Andrés Felipe Spillover Effect of International Market on Latin American Economies: The Cases of Chile, Brazil, Colombia and Mexico |
| title | Spillover Effect of International Market on Latin American Economies: The Cases of Chile, Brazil, Colombia and Mexico |
| title_alt | Efecto derrame del mercado internacional en las economías latinoamericanas: los casos de Chile, Brasil, Colombia y México |
| title_full | Spillover Effect of International Market on Latin American Economies: The Cases of Chile, Brazil, Colombia and Mexico |
| title_fullStr | Spillover Effect of International Market on Latin American Economies: The Cases of Chile, Brazil, Colombia and Mexico |
| title_full_unstemmed | Spillover Effect of International Market on Latin American Economies: The Cases of Chile, Brazil, Colombia and Mexico |
| title_short | Spillover Effect of International Market on Latin American Economies: The Cases of Chile, Brazil, Colombia and Mexico |
| title_sort | spillover effect of international market on latin american economies the cases of chile brazil colombia and mexico |
| topic | spillover effect; oil prices; coal prices; gas prices; economic growth; efecto derrame; precios del petróleo; precios del carbón; precios del gas; crecimiento económico; |
| topic_facet | spillover effect; oil prices; coal prices; gas prices; economic growth; efecto derrame; precios del petróleo; precios del carbón; precios del gas; crecimiento económico; |
| url | https://revistas.uptc.edu.co/index.php/cenes/article/view/10876 |
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