A changepoint analysis of exchange rate and commodity price risks for Latin American stock markets

Hans Manner, Gabriel Rodríguez, Florian Stöckler

Research output: Contribution to journalArticlepeer-review

Abstract

Focusing on countries whose economies are exposed to fluctuations in commodity prices and exchange rates, we study the vulnerability of these stock market returns to exchange rate and commodity price shocks using non-parametric structural break tests for volatility and dependence. The return distributions are modeled using a Copula-GARCH model incorporating the estimated changepoints and we measure risk-spillovers with the conditional Value-at-Risk. We find evidence for various changepoints at different points in time, implying changes in risk and spillovers. In particular, there is evidence of increased spillover risk after the outbreak of the global financial crisis in 2008, as well as higher conditional risk following the Covid-19 outbreak.

Original languageEnglish
Pages (from-to)1385-1403
Number of pages19
JournalInternational Review of Economics and Finance
Volume89
DOIs
StatePublished - Jan 2024

Keywords

  • Changepoint analysis
  • CoVaR
  • Commodity prices
  • Copula
  • Latin American stock markets

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