Resumo

SANDOVAL-PAUCAR, Giovanny. Spillover effects of US financial markets in Colombian financial markets. Cuad. Econ. [online]. 2020, vol.39, n.81, pp.667-702. ISSN 0121-4772.  https://doi.org/10.15446/cuad.econ.v39n81.77091.

This paper aims to analyse and quantify the effects of shocks originated in the US financial markets on the major Colombian financial markets during the period 2003-2015. The employed methodology is a structural VAR model that uses the heteroskedasticity existing in the data to achieve the identification and estimation of the financial transmission coefficients. It was discovered that US markets generate significant overall spill over effects on the Colombian stock market. In turn, the results reflect the dominant position of the US bond market as the engine of spill over effects.

JEL: F36; F32; G15; C15.

Palavras-chave : Financial shocks; asset price; SVAR-IH models; heteroskedasticity.

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