A changepoint analysis of exchange rate and commodity price risks for Latin American stock markets

Hans Manner, Gabriel Rodríguez and Florian Stöckler

International Review of Economics & Finance, 2024, vol. 89, issue PA, 1385-1403

Abstract: Focusing on countries whose economies are exposed to fluctuations in commodity prices and exchange rates, we study the vulnerability of these stock market returns to exchange rate and commodity price shocks using non-parametric structural break tests for volatility and dependence. The return distributions are modeled using a Copula-GARCH model incorporating the estimated changepoints and we measure risk-spillovers with the conditional Value-at-Risk. We find evidence for various changepoints at different points in time, implying changes in risk and spillovers. In particular, there is evidence of increased spillover risk after the outbreak of the global financial crisis in 2008, as well as higher conditional risk following the Covid-19 outbreak.

Keywords: Latin American stock markets; Commodity prices; Changepoint analysis; Copula; CoVaR (search for similar items in EconPapers)
JEL-codes: C12 C32 C52 C53 (search for similar items in EconPapers)
Date: 2024
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Working Paper: A changepoint analysis of exchange rate and commodity price risks for Latin American stock markets (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:89:y:2024:i:pa:p:1385-1403

DOI: 10.1016/j.iref.2023.08.021

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