Economics at your fingertips  

Do economic news releases affect tail risk? Evidence from an emerging market

Konstantinos Gkillas, Christoforos Konstantatos, Athanasios Tsagkanos and Costas Siriopoulos ()

Finance Research Letters, 2021, vol. 40, issue C

Abstract: We study the impact of economic news releases of the United States on the tail risk of Mexican financial markets. We also control for the impact of (domestic) economic news releases of Mexico. We consider daily data for: (i) the equity market, (ii) the foreign exchange market, as well as (iii) sovereign bonds, (iv) financial institutional bonds and (v) corporate bonds. We estimate tail risk with the use of Value at Risk by employing conditional autoregressive Value at Risk specifications. The models considered are: (i) the adaptive model, (ii) the symmetric slope model, (iii) the asymmetric slope model and (iv) the indirect generalized autoregressive conditional heteroskedasticity model with an autoregressive mean. The empirical findings show that economic news releases of the US and Mexico have a statistically significant impact on the tail risk of Mexican financial markets.

Keywords: CaViaR; Economic news; Mexico; Tail risk (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1016/

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Page updated 2022-11-23
Handle: RePEc:eee:finlet:v:40:y:2021:i:c:s154461232030297x