Modelos de corrección de error no lineal entre mercados accionarios latinoamericanos y el mercado accionario de Estados Unidos

Arturo Lorenzo Valdés ()
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Arturo Lorenzo Valdés: Instituto Tecnológico y de Estudios Superiores de Monterrey, México.

Revista de Analisis Economico – Economic Analysis Review, 2006, vol. 21, issue 1, 117-129

Abstract: The intention of the present work is to evaluate long-run relations in the stock markets of six Latin American countries (Argentina, Brazil, Chile, Colombia, Mexico and Peru) and the United States stock market, by means of a model in which a cointegration relation exists between the principals prices stock indexes but allowing that the movements towards the long-run equilibrium only happen in some periods. For the previous thing threshold autoregressive models are considered. The idea is that the movements towards the long-run equilibrium need not occur every period but in a specific regime. We find that the specification is better in nonlinear than linear models and the cointegration relation only appears in four of the six analyzed Latin American countries

Keywords: Cointegration; Asset Returns; Dynamic Nonlinear; SETAR Models (search for similar items in EconPapers)
JEL-codes: C22 G12 G15 (search for similar items in EconPapers)
Date: 2006
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