What is the Spillover Effect of the U.S. Equity and Money Market on the Key Latin American Agricultural Exports?

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2018-08-31 DOI:10.1515/gej-2018-0060

Lya Sierra, Luis Eduardo Girón, V. Girón, Andrés Girón

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.

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美国股票和货币市场对拉美主要农产品出口的溢出效应是什么?

摘要本文采用多元恒条件相关GARCH模型和VAR-AGARCH模型，考察了2005-2016年动荡时期，美国股票和货币市场对拉美最重要农产品出口产品的收益是否存在波动溢出效应。这些结果表明，在上升趋势和金融动荡期间，美国股票和货币市场与农业原材料商品(特别是糖和大豆)之间的跨市场联系得到加强。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.