Transmisión de volatilidades entre variables macroeconómicas en América Latina
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Granados Castro, Joan Camilo
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Con el fin de determinar la presencia de efectos de las volatilidades entre variables macroeconómicas se lleva a cabo un modelo vectorial autorregresivo estructural (SVAR) con efectos GARCH multivariados para cinco países de Latinoamérica. La estructura teórica considerada en cada caso es la de una identificación de un choque de política monetaria. Las estimaciones nos permiten revisar si existen efectos de las volatilidades tanto en la media como en las varianzas de las variables (actividad real, nivel de precios, tasa de interés y tipo de cambio). Los resultados indican que hay efectos significativos tanto en los niveles como en las volatilidades para algunas variables. De estas estimaciones se obtiene un indicador de volatilidad para cada país y luego llevamos a cabo un ejercicio para determinar si hay signos de contagio o transmisiones de volatilidad significativas a nivel regional. Los resultados nos muestran que en algunos casos la transmisión de volatilidades no son significativas entre países, sin embargo hay varias excepciones en los casos en que hay una mayor integración económica (comercial y financiera).
Abstract. In order to determine the presence of volatility spillovers among macroeconomic variables a Structural Vector Autorregresive (SVAR) model with multivariate GARCH effects is carried out for five countries in Latin America. The theoretical structure considered in each case is that of an identification of a monetary policy shock. The estimates allow to check for effects of the volatilities in both the mean and variances of the variables (real activity, price level, interest rate, and exchange rate). The results indicate that there are significant effects in volatility in some variables in both the levels and the volatility. From these estimations a volatility indicator for each country is derived and from those an exercise is applied to determine if there are traces of contagion or volatility spillovers at the regional level. Results show that in most cases volatility spillovers are not significant among countries but there are still certain exceptions in cases with greater economic integration (commercial and financial).
Abstract. In order to determine the presence of volatility spillovers among macroeconomic variables a Structural Vector Autorregresive (SVAR) model with multivariate GARCH effects is carried out for five countries in Latin America. The theoretical structure considered in each case is that of an identification of a monetary policy shock. The estimates allow to check for effects of the volatilities in both the mean and variances of the variables (real activity, price level, interest rate, and exchange rate). The results indicate that there are significant effects in volatility in some variables in both the levels and the volatility. From these estimations a volatility indicator for each country is derived and from those an exercise is applied to determine if there are traces of contagion or volatility spillovers at the regional level. Results show that in most cases volatility spillovers are not significant among countries but there are still certain exceptions in cases with greater economic integration (commercial and financial).