Abstract

MELO, Luis Fernando  and  RINCON, Hernán. External shocks and asset prices in Latin America before and after the Lehman Brothers bankruptcy. Ens. polit. econ. [online]. 2013, vol.31, n.71, pp.1-35. ISSN 0120-4483.

The international financial crisis between 2007 and 2009 led to large changes in asset prices, risk and growth in advanced economies. These changes caused large movements of capital between them and the emerging countries, which are reflected in the sharp changes in the prices of their assets and a management challenge for the authorities. The aim of this document is to analyze and quantify the effects of external shocks and macroeconomic announcements and the policy over interest rates, the change and price of the shares of the largest economies in Latin America, before and after the Lehman Brothers bankruptcy. Daily information from Argentina, Brazil, Chile, Colombia, and Mexico between 2006 and 2011, and a multiplier analysis is used to achieve this objective. The results show that the multipliers are statistically significant and relatively small, generally have the expected signs, are heterogeneous in size, sign and variance throughout the countries, in many cases they have an asymmetric response and a short duration. The results also indicate that there little relationship between external and local asset prices, except between share prices. Final, indicators are found that led to a structural change in the behavior of the international capital markets during the crisis.

Keywords : External shocks; ''News''; LAC-5; Asset prices; VARX-MGARCH model; Multiplier analysis.

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