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?

IF 1 Q3 ECONOMICS

Global Economy Journal Pub Date : 2018-08-31 DOI:10.1515/gej-2018-0060

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

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引用次数: 4

摘要

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

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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来源期刊

Global Economy Journal ECONOMICS-

CiteScore

1.60

自引率

14.30%

发文量

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.