{"title":"Dependencia condicional en colas entre el mercado accionario y el crecimiento económico: el caso mexicano","authors":"Arturo Lorenzo Valdés , Ricardo Massa Roldán","doi":"10.1016/j.inveco.2016.07.005","DOIUrl":null,"url":null,"abstract":"<div><p>Research on the relationship between financial markets and economic growth has focused on finding their causal influence and long-term relationship with inconclusive results. The typical tools used for these purposes assume a bivariate Gaussian normal distribution, hence elements such as asymmetric dependence is not captured. The present work used the conditional bivariate copula-<span>tgarch</span> tool to determine the conditional dependence between the monthly returns of the Mexican stock exchange price index (<span>ipc</span>) and the index measuring the overall growth of economic activity (<span>igae</span>) for the January 1993 to June 2015 period. Our results suggest a dependence relationship that varies with time; it is higher in near crisis periods and weakens afterwards.</p></div>","PeriodicalId":44170,"journal":{"name":"Investigacion Economica","volume":"75 296","pages":"Pages 111-131"},"PeriodicalIF":0.6000,"publicationDate":"2016-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.inveco.2016.07.005","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Investigacion Economica","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0185166716300194","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 2
Abstract
Research on the relationship between financial markets and economic growth has focused on finding their causal influence and long-term relationship with inconclusive results. The typical tools used for these purposes assume a bivariate Gaussian normal distribution, hence elements such as asymmetric dependence is not captured. The present work used the conditional bivariate copula-tgarch tool to determine the conditional dependence between the monthly returns of the Mexican stock exchange price index (ipc) and the index measuring the overall growth of economic activity (igae) for the January 1993 to June 2015 period. Our results suggest a dependence relationship that varies with time; it is higher in near crisis periods and weakens afterwards.
期刊介绍：
It is a specialized journal, bilingual (Spanish and English), plural and critical, which accepts and publishes scientific research articles in national and international economy. It is considered a public good that belongs to the University and society. Its vocation is to analyze the evolution of the theoretical and practical economics. In its pages the paradigms of economics, history of economic thought, the theories and debates about economic policy and its consequences, the diagnosis of the Mexican economy, the economic development of Latin America and the problems spread the world economy in general. It is a journal that does not discriminate plural none paradigm; theoretical orientation is unorthodox for epistemological reasons, not ideological preferences.
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