Oil price and financial markets contagion in Pacific Alliance economies during the first two decades of the 21st century
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| Format: | Artículo científico |
| Langue: | en |
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Universidad ICESI
2025
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| _version_ | 1876483750591725568 |
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| author | Julio César Alonso Cifuentes |
| author_facet | Julio César Alonso Cifuentes |
| contents | Oil price and financial markets contagion in Pacific Alliance economies during the first two decades of the 21st century Julio César Alonso Cifuentes Julián Benavides-Franco Irwin Taype Huaman Administración y Contabilidad oil market stock market exchange rate Pacific Alliance comovement tests This research studies whether fluctuations in Brent crude prices propagated to the exchange rate and equity markets of the Pacific Alliance (Chile, Colombia, Mexico, Peru) between 2000-2019. This period includes the formation of the block and excludes the structural change caused by the COVID-19 pandemic. Structural var models are employed by country to filter monthly returns, and eight contagion tests are applied: Pearson, Spearman, and Kendall correlations; Forbes-Rigobon adjusted correlation; local Gaussian bootstrap statistics; X2 covolatility test; and two third-order co-bias tests. Calm and crisis regimes are identified using the Lunde-Timmermann bull/bear algorithm and the Mohaddes-Pesaran realized volatility classifier. The evidence is replicated excluding the 2007-2009 global financial crisis. Results show a marked asymmetry: currency contagion is strong and persistent in Mexico and Chile, moderate in Colombia, and sporadic in Peru. In contrast, stock market contagion is significant only in Colombia and Peru. These findings indicate that homogeneous policy responses within the Alliance may not be effective, and that investors must hedge currency and stock market risks in a differentiated manner. 2025 reseña 0123-5923 https://www.redalyc.org/articulo.oa?id=21282793010 https://www.redalyc.org/journal/212/21282793010/ https://www.redalyc.org/journal/212/21282793010/html/ https://www.redalyc.org/journal/212/21282793010/21282793010.epub https://www.redalyc.org/journal/212/21282793010/movil 10.18046/j.estger.2025.174.7030 en http://www.redalyc.org/revista.oa?id=212 Estudios Gerenciales application/pdf Universidad ICESI Estudios Gerenciales (Colombia) Num.174 Vol.41 |
| format | Artículo científico |
| id | redalyc_21282793010 |
| institution | Redalyc |
| language | en |
| publishDate | 2025 |
| publisher | Universidad ICESI |
| spellingShingle | Oil price and financial markets contagion in Pacific Alliance economies during the first two decades of the 21st century Julio César Alonso Cifuentes Administración y Contabilidad oil market stock market exchange rate Pacific Alliance comovement tests Oil price and financial markets contagion in Pacific Alliance economies during the first two decades of the 21st century Julio César Alonso Cifuentes Julián Benavides-Franco Irwin Taype Huaman Administración y Contabilidad oil market stock market exchange rate Pacific Alliance comovement tests This research studies whether fluctuations in Brent crude prices propagated to the exchange rate and equity markets of the Pacific Alliance (Chile, Colombia, Mexico, Peru) between 2000-2019. This period includes the formation of the block and excludes the structural change caused by the COVID-19 pandemic. Structural var models are employed by country to filter monthly returns, and eight contagion tests are applied: Pearson, Spearman, and Kendall correlations; Forbes-Rigobon adjusted correlation; local Gaussian bootstrap statistics; X2 covolatility test; and two third-order co-bias tests. Calm and crisis regimes are identified using the Lunde-Timmermann bull/bear algorithm and the Mohaddes-Pesaran realized volatility classifier. The evidence is replicated excluding the 2007-2009 global financial crisis. Results show a marked asymmetry: currency contagion is strong and persistent in Mexico and Chile, moderate in Colombia, and sporadic in Peru. In contrast, stock market contagion is significant only in Colombia and Peru. These findings indicate that homogeneous policy responses within the Alliance may not be effective, and that investors must hedge currency and stock market risks in a differentiated manner. 2025 reseña 0123-5923 https://www.redalyc.org/articulo.oa?id=21282793010 https://www.redalyc.org/journal/212/21282793010/ https://www.redalyc.org/journal/212/21282793010/html/ https://www.redalyc.org/journal/212/21282793010/21282793010.epub https://www.redalyc.org/journal/212/21282793010/movil 10.18046/j.estger.2025.174.7030 en http://www.redalyc.org/revista.oa?id=212 Estudios Gerenciales application/pdf Universidad ICESI Estudios Gerenciales (Colombia) Num.174 Vol.41 |
| title | Oil price and financial markets contagion in Pacific Alliance economies during the first two decades of the 21st century |
| topic | Administración y Contabilidad oil market stock market exchange rate Pacific Alliance comovement tests |
| url | https://www.redalyc.org/articulo.oa?id=21282793010 https://www.redalyc.org/journal/212/21282793010/ https://www.redalyc.org/journal/212/21282793010/html/ https://www.redalyc.org/journal/212/21282793010/21282793010.epub https://www.redalyc.org/journal/212/21282793010/movil |