What is the Spillover Effect of the U.S. Equity and Money Market on the Key Latin American Agricultural Exports?

Lya Paola Sierra 1 , Luis Eduardo Girón 1 , Victor Girón 2 ,  and Andrés Girón 3
  • 1 Department of Economics, Pontificia Universidad Javeriana Cali Facultad de Ciencias Economicas y Administrativas, Cali, Colombia
  • 2 Financiera Pagos Internacionales S.A. Financing Company, Cali, Colombia
  • 3 Grupo Coomeva, Cali, Colombia
Lya Paola Sierra
  • Corresponding author
  • Department of Economics, Pontificia Universidad Javeriana Cali Facultad de Ciencias Economicas y Administrativas, Cali, Colombia
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, Luis Eduardo Girón
  • Department of Economics, Pontificia Universidad Javeriana Cali Facultad de Ciencias Economicas y Administrativas, Cali, Colombia
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, Victor Girón and Andrés Girón

Abstract

This paper employs a multivariate constant conditional correlation (CCC) GARCH model and the VAR-AGARCH model to examine whether the U.S. equity and money market have a volatility spillover effect on the returns of the most important agricultural export products of Latin America over the turbulent 2005–2016 period. These results indicate the strengthening of crossmarket linkages between U.S. equity and money market and agricultural raw material commodities (notably sugar and soy) during the period of an upward trend and financial turmoil.

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