Abstract

CANDELO-VIAFARA, Juan Manuel  and  OVIEDO-GOMEZ, Andrés. Spillover Effect of International Market on Latin American Economies: The Cases of Chile, Brazil, Colombia and Mexico. Apuntes del Cenes [online]. 2020, vol.39, n.70, pp.107-138.  Epub Mar 11, 2021. ISSN 0120-3053.  https://doi.org/10.19053/01203053.v39.n70.2020.10876.

In this research, the effects of spillover and volatility generated by oil, gas and coal prices on the industrial activity of the Chile, Brazil, Colombia and Mexico economies are evaluated using the methodology proposed by Debold and Yilmaz (2012), characterized by the use of generalized autoregressive vectors, where the variance decomposition does not vary according to the order of the variables, thus measuring the contagion effects of total and directional volatility. The results show that these industries receive the financial spillover from the raw materials markets, caused by fluctuations in the prices of oil and coal and, in addition, behave as transmitters of the spillover caused by the fluctuations in gas prices. On the other hand, it was found that, months before the 2008 economic crisis, the four industries and these products increased their spillover effect and volatility.

Keywords : spillover effect; oil prices; coal prices; gas prices; economic growth.

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