3. Producción
Browse
4 results
Search Results
- Some of the metrics are blocked by yourconsent settings
Item type:Publication, Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models(Elsevier, 2020-04-01)Using weekly data for stock and Forex market returns, a set of MS-GARCH models is estimated for a group of high-income (HI) countries and emerging market economies (EMEs) using algorithms proposed by Augustyniak (2014) and Ardia et al. (2018, 2019a,b), allowing for a variety of conditional variance and distribution specifications. The main results are: (i) the models selected using Ardia et al. (2018) have a better fit than those estimated by Augustyniak (2014), contain skewed distributions, and often require that the main coefficients be different in each regime; (ii) in Latam Forex markets, estimates of the heavy-tail parameter are smaller than in HI Forex and all stock markets; (iii) the persistence of the high-volatility regime is considerable and more evident in stock markets (especially in Latam EMEs); (iv) in (HI and Latam) stock markets, a single-regime GJR model (leverage effects) with skewed distributions is selected; but when using MS models, virtually no MS-GJR models are selected. However, this does not happen in Forex markets, where leverage effects are not found either in single-regime or MS-GARCH models. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Dynamics of spillover network among oil and leading Asian oil trading countries’ stock markets(Elsevier, 2020-09-15)Asia as the largest continent which has the highest consumption of energy, so analyzing the impact of spillover and energy crisis is crucial for this region. In this article the volatility spillovers connections among crude oil, leading Asian oil-exporting and oil-importing countries’ stock exchanges are scrutinized. This study applies the VAR-DCC-GARCH model to examine the spillover network structure with the nine years of daily data from September 01, 2009 to August 31, 2018. The results of these analyses have been displayed the network connections using complex networking technique. Overall strong spillover relations were found among oil-exporting as well as with oil prices. The strong interconnection is alarming for these economies, it is recommended to diversify their dependence on other sectors of the economy too. On the other side, oil-importing countries documented low as well as fewer interconnections and also with oil prices. It means these economies are more self-dependent, they also need to make long term planning to deal with future crisis shocks. Further, the findings of this study will provide an insight to researchers and policymakers regarding the spillover networking among oil and leading Asian trading countries’ stock markets. The networking of the oil price spillover can be extended for the Asian oil trade and subsequent to the whole world. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Models(Pontificia Universidad Católica del Perú. Departamento de Economía, 2020-02)Seven GARCH and stochastic volatility (SV) models are used to model and compare empirically the volatility of returns on four commodities: gold, copper, oil, and natural gas. The results show evidence of fat tails and random jumps created by supply/demand imbalances, international instability episodes, geopolitical tensions, and market speculation, among other factors. We also find evidence of a leverage effect in oil and copper, resulting from their dependence on world economic activity; and of an inverse leverage effect in gold and natural gas, consistent with the formerís role as safe asset and with uncertainty about the latterís future supply. Additionally, in most cases there is no evidence of an impact of volatility on the mean. Finally, we find that the best-performing return volatility models are GARCH-t for gold, SV-t for copper and oil, and SV with leverage effects (SV-L) for natural gas. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Economic growth and the foreign sector: Peru 1821–2020(Oxford University Press, 2024-11-01)Thirlwall Model shows evidence in Latin American countries, as well as for the Peruvian economy, with an economic growth rate of balance of payments equilibrium, which is explained by causal variables that present a long-term cointegration relationship. These variables are exports with little added value, imports that reinforce technological dependence, external income, relative prices or the real exchange rate, the institutions, and the volatility of exports. Investment policies are prescribed in innovative, physical, financial, natural, and social human capital that tend to reduce the restriction of foreign exchange, technological dependence and the international market. Therefore, endogenous, dynamic, sustained, inclusive economic growth is generated, low in carbon as a means for sustainable human development, within the framework of a new growth and development strategy that involves balancing the participation of the market, state and civil society.