Lya Sierra, Luis Eduardo Girón, V. Girón, Andrés Girón
{"title":"What is the Spillover Effect of the U.S. Equity and Money Market on the Key Latin American Agricultural Exports?","authors":"Lya Sierra, Luis Eduardo Girón, V. Girón, Andrés Girón","doi":"10.1515/gej-2018-0060","DOIUrl":null,"url":null,"abstract":"Abstract This paper employs a multivariate constant conditional correlation (CCC) GARCH model and the VAR-AGARCH model to examine whether the U.S. equity and money market have a volatility spillover effect on the returns of the most important agricultural export products of Latin America over the turbulent 2005–2016 period. These results indicate the strengthening of crossmarket linkages between U.S. equity and money market and agricultural raw material commodities (notably sugar and soy) during the period of an upward trend and financial turmoil.","PeriodicalId":44015,"journal":{"name":"Global Economy Journal","volume":"411 1","pages":""},"PeriodicalIF":1.0000,"publicationDate":"2018-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"4","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Global Economy Journal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1515/gej-2018-0060","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 4
Abstract
Abstract This paper employs a multivariate constant conditional correlation (CCC) GARCH model and the VAR-AGARCH model to examine whether the U.S. equity and money market have a volatility spillover effect on the returns of the most important agricultural export products of Latin America over the turbulent 2005–2016 period. These results indicate the strengthening of crossmarket linkages between U.S. equity and money market and agricultural raw material commodities (notably sugar and soy) during the period of an upward trend and financial turmoil.
期刊介绍：
The GEJ seeks to publish original and innovative research, as well as novel analysis, relating to the global economy. While its main emphasis is economic, the GEJ is a multi-disciplinary journal. The GEJ''s contents mirror the diverse interests and approaches of scholars involved with the international dimensions of business, economics, finance, history, law, marketing, management, political science, and related areas. The GEJ also welcomes scholarly contributions from officials with government agencies, international agencies, and non-governmental organizations. One over-arching theme that unites IT&FA members and gives focus to this journal is the complex globalization process, involving flows of goods and services, money, people, and information.
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