Since 2014
Excess Returns and Systemic Risk for Chile and Mexico
Economic Analysis Review
View Archive Info| Field | Value | |
| Title |
Excess Returns and Systemic Risk for Chile and Mexico
Excess Returns and Systemic Risk for Chile and Mexico |
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| Creator |
Lim, Guay C.
McNelis, Paul D. |
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| Description |
This paper is concerned with excess returns in the equity markets and the evolution of systemic risk in Chile and Mexico during the years 1989-1998, a period of financial openness, policy reform and crisis. A time varying generalised autoregressive conditional heteroscedastic in mean framework is used to estimate progressively more complex models of risk. They include the univariate own volatily model, the bivariate market pricing model, and the trivariate intertemporal asset pricing model. The results show no evidence of a significant reduction in systemic risk rather excess returns have remained volatile for both countries. For Chile, excess returns are significantly related to own lagged levels, while for Mexico excess are significantly related to own lagged variances. The influence of global factors are relatively minimal compared to potential home factors.
This paper is concerned with excess returns in the equity markets and the evolution of systemic risk in Chile and Mexico during the years 1989-1998, a period of financial openness, policy reform and crisis. A time varying generalised autoregressive conditional heteroscedastic in mean framework is used to estimate progressively more complex models of risk. They include the univariate own volatily model, the bivariate market pricing model, and the trivariate intertemporal asset pricing model. The results show no evidence of a significant reduction in systemic risk rather excess returns have remained volatile for both countries. For Chile, excess returns are significantly related to own lagged levels, while for Mexico excess are significantly related to own lagged variances. The influence of global factors are relatively minimal compared to potential home factors. |
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| Publisher |
Universidad Alberto Hurtado - Facultad de Economía y Negocios
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| Contributor |
—
— |
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| Date |
2010-03-05
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://www.rae-ear.org/index.php/rae/article/view/95
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| Source |
Revista de Análisis Económico - Economic Analysis Review; Vol 15, No 1 (2000); 3-25
Revista de Análisis Económico – Economic Analysis Review; Vol 15, No 1 (2000); 3-25 0718-8870 0716-5927 |
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| Language |
eng
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| Relation |
http://www.rae-ear.org/index.php/rae/article/view/95/182
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