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Efecto contagio del mercado estadounidense a los mercados financieros latinoamericanos durante la pandemia por COVID-19.
Contagion effect of the USA market on Latin American financial markets during the COVID-19 pandemic.
DOI:
https://doi.org/10.15446/cuad.econ.v40n85.93352Palabras clave:
COVID-19, Correlación Condicional Dinámica, Volatilidad, Latinoamérica, Mercados Financieros (es)COVID-19, Dynamic Conditional Correlation, Volatility, Latin America, Financial Markets (en)
Este artículo analiza el efecto contagio de los mercados latinoamericanos y Estados Unidos durante la pandemia por COVID-19, utilizando el modelo DCC-GARCH. El principal hallazgo es la existencia de un efecto contagio, estadísticamente significativo, durante el periodo de crisis entre EE.UU. y los mercados de Chile, Perú, Colombia, México y Brasil. Ello implica que estos mercados se encontraron expuestos a choques externos en la pandemia por COVID-19. Particularmente, México y Brasil presentan un mayor vínculo con el mercado estadounidense. Además, la volatilidad del mercado de EE. UU. tiene un efecto significativo en las correlaciones condicionales de los mercados latinoamericanos.
This paper analyses the contagion effect on Latin American markets and the United States during the COVID-19 pandemic using the DCC-GARCH model. The main finding is the determination of the existence of a statistically significant contagion effect between the US and the markets of Chile, Peru, Colombia, Mexico, and Brazil during the crisis period, implying that these markets were exposed to external shocks during the COVID-19 pandemic. Particularly, Mexico and Brazil have a stronger link to the U.S. market. In addition, the volatility of the U.S. market has a significant effect on the conditional correlations of the Latin American markets.
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