Spillover Effect of International Market on Latin American Economies: The Cases of Chile, Brazil, Colombia and Mexico

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 autoregress...

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Tipo de recurso:
http://purl.org/coar/resource_type/c_6633
Fecha de publicación:
2020
Institución:
Universidad Pedagógica y Tecnológica de Colombia
Repositorio:
RiUPTC: Repositorio Institucional UPTC
Idioma:
spa
OAI Identifier:
oai:repositorio.uptc.edu.co:001/12037
Acceso en línea:
https://revistas.uptc.edu.co/index.php/cenes/article/view/10876
https://repositorio.uptc.edu.co/handle/001/12037
Palabra clave:
spillover effect; oil prices; coal prices; gas prices; economic growth;
efecto derrame; precios del petróleo; precios del carbón; precios del gas; crecimiento económico;
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Copyright (c) 2020 Juan Manuel Candelo-Viafara, Andrés Felipe Oviedo-Gómez
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network_name_str RiUPTC: Repositorio Institucional UPTC
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spelling 2020-08-112024-07-05T18:44:50Z2024-07-05T18:44:50Zhttps://revistas.uptc.edu.co/index.php/cenes/article/view/1087610.19053/01203053.v39.n70.2020.10876https://repositorio.uptc.edu.co/handle/001/12037In 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.En esta investigación se evalúan los efectos del desbordamiento y la volatilidad generados por los precios del petróleo, el gas y el carbón sobre la actividad industrial de  las economías de Chile, Brasil, Colombia y México, usando la metodología propuesta por Diebold y Yilmaz (2012), que se caracteriza por el uso de vectores autorregresivos generalizados, donde la descomposición de la varianza no varía según el orden de las variables, midiendo así los efectos de contagio de la volatilidad total y direccional. Los resultados muestran que estas industrias reciben el derrame financiero de los mercados de materias primas, ocasionado por las fluctuaciones de los precios del petróleo y carbón y, además, se comportan como transmisoras del derrame que producen las oscilaciones de los precios del gas. Por otro lado, se halló que meses previos a la crisis económica del 2008, las cuatro industrias y dichos productos aumentaron el efecto derrame y la volatilidad.application/pdftext/xmlspaspaUniversidad Pedagógica y Tecnológica de Colombiahttps://revistas.uptc.edu.co/index.php/cenes/article/view/10876/9836https://revistas.uptc.edu.co/index.php/cenes/article/view/10876/11553Copyright (c) 2020 Juan Manuel Candelo-Viafara, Andrés Felipe Oviedo-Gómezhttp://creativecommons.org/licenses/by-nc-sa/4.0http://purl.org/coar/access_right/c_abf134http://purl.org/coar/access_right/c_abf2Apuntes del Cenes; Vol. 39 No. 70 (2020); 107-138Apuntes del Cenes; Vol. 39 Núm. 70 (2020); 107-1382256-57790120-3053spillover effect; oil prices; coal prices; gas prices; economic growth;efecto derrame; precios del petróleo; precios del carbón; precios del gas; crecimiento económico;Spillover Effect of International Market on Latin American Economies: The Cases of Chile, Brazil, Colombia and MexicoEfecto derrame del mercado internacional en las economías latinoamericanas: los casos de Chile, Brasil, Colombia y Méxicoinfo:eu-repo/semantics/articlePeer reviewed Articlehttp://purl.org/coar/resource_type/c_6633http://purl.org/coar/resource_type/c_2df8fbb1info:eu-repo/semantics/publishedVersionhttp://purl.org/coar/version/c_970fb48d4fbd8a217http://purl.org/coar/version/c_970fb48d4fbd8a85Candelo-Viafara, Juan ManuelOviedo-Gómez, Andrés Felipe001/12037oai:repositorio.uptc.edu.co:001/120372025-07-18 12:13:25.977metadata.onlyhttps://repositorio.uptc.edu.coRepositorio Institucional UPTCrepositorio.uptc@uptc.edu.co
dc.title.en-US.fl_str_mv Spillover Effect of International Market on Latin American Economies: The Cases of Chile, Brazil, Colombia and Mexico
dc.title.es-ES.fl_str_mv Efecto derrame del mercado internacional en las economías latinoamericanas: los casos de Chile, Brasil, Colombia y México
title Spillover Effect of International Market on Latin American Economies: The Cases of Chile, Brazil, Colombia and Mexico
spellingShingle Spillover Effect of International Market on Latin American Economies: The Cases of Chile, Brazil, Colombia and Mexico
spillover effect; oil prices; coal prices; gas prices; economic growth;
efecto derrame; precios del petróleo; precios del carbón; precios del gas; crecimiento económico;
title_short Spillover Effect of International Market on Latin American Economies: The Cases of Chile, Brazil, Colombia and Mexico
title_full Spillover Effect of International Market on Latin American Economies: The Cases of Chile, Brazil, Colombia and Mexico
title_fullStr Spillover Effect of International Market on Latin American Economies: The Cases of Chile, Brazil, Colombia and Mexico
title_full_unstemmed Spillover Effect of International Market on Latin American Economies: The Cases of Chile, Brazil, Colombia and Mexico
title_sort Spillover Effect of International Market on Latin American Economies: The Cases of Chile, Brazil, Colombia and Mexico
dc.subject.en-US.fl_str_mv spillover effect; oil prices; coal prices; gas prices; economic growth;
topic spillover effect; oil prices; coal prices; gas prices; economic growth;
efecto derrame; precios del petróleo; precios del carbón; precios del gas; crecimiento económico;
dc.subject.es-ES.fl_str_mv efecto derrame; precios del petróleo; precios del carbón; precios del gas; crecimiento económico;
description 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.
publishDate 2020
dc.date.accessioned.none.fl_str_mv 2024-07-05T18:44:50Z
dc.date.available.none.fl_str_mv 2024-07-05T18:44:50Z
dc.date.none.fl_str_mv 2020-08-11
dc.type.none.fl_str_mv info:eu-repo/semantics/article
dc.type.en-US.fl_str_mv Peer reviewed Article
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.coarversion.fl_str_mv http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.coar.spa.fl_str_mv http://purl.org/coar/resource_type/c_6633
dc.type.version.spa.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.coarversion.spa.fl_str_mv http://purl.org/coar/version/c_970fb48d4fbd8a217
format http://purl.org/coar/resource_type/c_6633
status_str publishedVersion
dc.identifier.none.fl_str_mv https://revistas.uptc.edu.co/index.php/cenes/article/view/10876
10.19053/01203053.v39.n70.2020.10876
dc.identifier.uri.none.fl_str_mv https://repositorio.uptc.edu.co/handle/001/12037
url https://revistas.uptc.edu.co/index.php/cenes/article/view/10876
https://repositorio.uptc.edu.co/handle/001/12037
identifier_str_mv 10.19053/01203053.v39.n70.2020.10876
dc.language.none.fl_str_mv spa
dc.language.iso.spa.fl_str_mv spa
language spa
dc.relation.none.fl_str_mv https://revistas.uptc.edu.co/index.php/cenes/article/view/10876/9836
https://revistas.uptc.edu.co/index.php/cenes/article/view/10876/11553
dc.rights.en-US.fl_str_mv Copyright (c) 2020 Juan Manuel Candelo-Viafara, Andrés Felipe Oviedo-Gómez
http://creativecommons.org/licenses/by-nc-sa/4.0
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
dc.rights.coar.spa.fl_str_mv http://purl.org/coar/access_right/c_abf134
rights_invalid_str_mv Copyright (c) 2020 Juan Manuel Candelo-Viafara, Andrés Felipe Oviedo-Gómez
http://creativecommons.org/licenses/by-nc-sa/4.0
http://purl.org/coar/access_right/c_abf134
http://purl.org/coar/access_right/c_abf2
dc.format.none.fl_str_mv application/pdf
text/xml
dc.publisher.en-US.fl_str_mv Universidad Pedagógica y Tecnológica de Colombia
dc.source.en-US.fl_str_mv Apuntes del Cenes; Vol. 39 No. 70 (2020); 107-138
dc.source.es-ES.fl_str_mv Apuntes del Cenes; Vol. 39 Núm. 70 (2020); 107-138
dc.source.none.fl_str_mv 2256-5779
0120-3053
institution Universidad Pedagógica y Tecnológica de Colombia
repository.name.fl_str_mv Repositorio Institucional UPTC
repository.mail.fl_str_mv repositorio.uptc@uptc.edu.co
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