Nueva publicación del Profesor Gabriel Rodriguez en International Review of Economics and Finance


Recientemente, nuestro Profesor Principal y Jefe del Departamento, Gabriel Rodriguez, ha publicado el artículo: “A changepoint analysis of exchange rate and commodity price risks for Latin American stock markets” en International Review of Economics and Finance (2024) 89, 1385-1403.

El paper es co-autorado con Hans Manner (Institute of Economics, University of Graz, Austria) y Florian Stöckler (Institute of Banking and Finance, University of Graz, Austria). La revista pertenece a Q1 (Scimago: Finanzas), Q2 (Scimago: Economics and Econometrics), Q1 (Web of Sciences-SSCI: Business and Finance) y Q1 (Web of Science-SSCI: Economics).


Focusing on countries whose economies are exposed to fluctuations in commodity prices and exchange rates, we study the vulnerability of these stock market returns to exchange rate and commodity price shocks using non-parametric structural break tests for volatility and dependence. The return distributions are modeled using a Copula-GARCH model incorporating the estimated changepoints and we measure risk-spillovers with the conditional Value-at-Risk. We find evidence for various changepoints at different points in time, implying changes in risk and spillovers. In particular, there is evidence of increased spillover risk after the outbreak of the global financial crisis in 2008, as well as higher conditional risk following the Covid-19 outbreak.

Más información, aquí.