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Umbral de Volatilidad del Mercado Bursátil y su Interrelación con la Divisa

Author

Listed:
  • Pedro V Piffaut

    (CEO / Founder, Langeron Econometrics. 156 West 56th Street, New York, NY 10019)

  • Damià Rey Miró

    (Economics Department, Universidad de Barcelona. C/segle XX nº1 Àtic 1 08041, Barcelona, España)

Abstract

La evidencia de la globalización financiera y el rápido contagio y uniforme entre los diferentes mercados financieros internacionales, se ha revelado después del estallido de la crisis en 2007, así como la crisis de deuda soberana de 2010 y más recientemente el Brexit. A pesar de ello, la volatilidad en el período subprime posterior a la crisis ha sido baja en términos históricos. En este estudio, se realiza una estimación de los umbrales de volatilidad para cada uno de los principales índices con el fin de determinar los posibles grados de contagio, así como el grado de interrelación y de volatilidad entre el mercado financiero y las respectivas monedas.

Suggested Citation

  • Pedro V Piffaut & Damià Rey Miró, 2021. "Umbral de Volatilidad del Mercado Bursátil y su Interrelación con la Divisa," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, vol. 44(124), pages 11-22, Enero.
    • Handle: RePEc:cud:journl:v:44:y:2021:i:124:p:11-22
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    More about this item

    Keywords

    Riesgo sistémico; contagio financiero; países emergentes; volatilidad mercado accionario; análisis VAR; volatilidad implícita; crisis financiera;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G01 - Financial Economics - - General - - - Financial Crises

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