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

Lya Sierra (), Luis Eduardo Girón, Victor Girón and Andrés Girón
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Luis Eduardo Girón: Department of Economics, Pontificia Universidad Javeriana Cali Facultad de Ciencias Economicas y Administrativas, Cali, Colombia
Victor Girón: Financiera Pagos Internacionales S.A. Financing Company, Cali, Colombia
Andrés Girón: Grupo Coomeva, Cali, Colombia

Global Economy Journal (GEJ), 2018, vol. 18, issue 4, 1-9

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.

Keywords: agricultural commodities; volatility spillovers; VAR-AGARCH (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1142/GEJ-2018-0060

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