Impact of us economic policy on major Latin America’s stock markets, 2002-2020
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| Formato: | Artículo científico |
| Lenguaje: | en |
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Universidad Nacional Autónoma de México
2022
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| _version_ | 1876468743690780672 |
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| author | Semei Coronado |
| author_facet | Semei Coronado |
| contents | Impact of us economic policy on major Latin America’s stock markets, 2002-2020 Semei Coronado José N. Martínez Francisco Venegas-Martínez Economía y Finanzas econometric models bayesian estimation emerging stock markets Economic policy uncertainty US Economic Policy Uncertainty (usepu) represents a risk in which government policies and regulatory frameworks are not clearly de-fined for the near future. This phenomenon can generate negative effects around the world by delaying the investments of corporations and investors in stock markets, which in turn affects economic acti-vity. This article assesses the impact of the usepu on the main stock exchanges in Latin America (Chile, Brazil, Mexico and Colombia). To do this, a Time-Varying Bayesian Structural Vector Autoregressive model is applied. Data is obtained from Bloomberg for the period 2002-2020. The main empirical results obtained are that a usepushock initially affects returns negatively and then its effect turns positive, with a peak around three months, for Chile’s ipsa (Índicede Precios Selectivo de Acciones) index, Brazil’s ibov (abbreviated name of ibovespa, Índice da Bolsa de Valores de São Paulo) index and Mexico’s mexbol (Mexican Bolsa) index. The same happens on a smaller scale with Colombia’s colcap (Colombia Capital) index. The shock completely dissipates after two years for all countries. A Time-Varying Granger Causality test corroborates the above results. Finally, the consequences of the usepu for emerging countries with similar characteristics are discussed and several policy recommen-dations focused on reducing the impact are provided. 2022 artículo científico 0185-1667 https://www.redalyc.org/articulo.oa?id=60175438004 https://www.redalyc.org/journal/601/60175438004/ https://www.redalyc.org/journal/601/60175438004/html/ https://www.redalyc.org/journal/601/60175438004/60175438004.epub https://www.redalyc.org/journal/601/60175438004/movil 10.22201/fe.01851667p.2022.320.81132 en http://www.redalyc.org/revista.oa?id=601 Investigación Económica application/pdf Universidad Nacional Autónoma de México Investigación Económica (México) Num.320 Vol.LXXXI |
| format | Artículo científico |
| id | redalyc_60175438004 |
| institution | Redalyc |
| language | en |
| publishDate | 2022 |
| publisher | Universidad Nacional Autónoma de México |
| spellingShingle | Impact of us economic policy on major Latin America’s stock markets, 2002-2020 Semei Coronado Economía y Finanzas econometric models bayesian estimation emerging stock markets Economic policy uncertainty Impact of us economic policy on major Latin America’s stock markets, 2002-2020 Semei Coronado José N. Martínez Francisco Venegas-Martínez Economía y Finanzas econometric models bayesian estimation emerging stock markets Economic policy uncertainty US Economic Policy Uncertainty (usepu) represents a risk in which government policies and regulatory frameworks are not clearly de-fined for the near future. This phenomenon can generate negative effects around the world by delaying the investments of corporations and investors in stock markets, which in turn affects economic acti-vity. This article assesses the impact of the usepu on the main stock exchanges in Latin America (Chile, Brazil, Mexico and Colombia). To do this, a Time-Varying Bayesian Structural Vector Autoregressive model is applied. Data is obtained from Bloomberg for the period 2002-2020. The main empirical results obtained are that a usepushock initially affects returns negatively and then its effect turns positive, with a peak around three months, for Chile’s ipsa (Índicede Precios Selectivo de Acciones) index, Brazil’s ibov (abbreviated name of ibovespa, Índice da Bolsa de Valores de São Paulo) index and Mexico’s mexbol (Mexican Bolsa) index. The same happens on a smaller scale with Colombia’s colcap (Colombia Capital) index. The shock completely dissipates after two years for all countries. A Time-Varying Granger Causality test corroborates the above results. Finally, the consequences of the usepu for emerging countries with similar characteristics are discussed and several policy recommen-dations focused on reducing the impact are provided. 2022 artículo científico 0185-1667 https://www.redalyc.org/articulo.oa?id=60175438004 https://www.redalyc.org/journal/601/60175438004/ https://www.redalyc.org/journal/601/60175438004/html/ https://www.redalyc.org/journal/601/60175438004/60175438004.epub https://www.redalyc.org/journal/601/60175438004/movil 10.22201/fe.01851667p.2022.320.81132 en http://www.redalyc.org/revista.oa?id=601 Investigación Económica application/pdf Universidad Nacional Autónoma de México Investigación Económica (México) Num.320 Vol.LXXXI |
| title | Impact of us economic policy on major Latin America’s stock markets, 2002-2020 |
| topic | Economía y Finanzas econometric models bayesian estimation emerging stock markets Economic policy uncertainty |
| url | https://www.redalyc.org/articulo.oa?id=60175438004 https://www.redalyc.org/journal/601/60175438004/ https://www.redalyc.org/journal/601/60175438004/html/ https://www.redalyc.org/journal/601/60175438004/60175438004.epub https://www.redalyc.org/journal/601/60175438004/movil |