RT Journal Article
T1 Exchange rates and the global transmission of equity market shocks
A1 Ojea Ferreiro, Javier
A1 Reboredo Nogueira, Juan Carlos
K1 Exchange rates
K1 International equity markets
K1 Copulas
K1 Cross-expected shortfall
AB With the capacity to amplify or buffer the effect of shocks between equity markets in different countries, exchange rates play a crucial role in the transmission of shocks. By modelling the dependence structure between exchange rates and equity markets, we quantify the impact of an equity market shock on other equity markets through the cross-expected shortfall and assess the contribution of exchange rates to shock transmission. For emerging Latin American countries (Argentina, Brazil, Chile and Mexico) and two developed markets (the EU and USA), we document (a) that the contribution of exchange rates to shock transmission is time-varying and differs across countries; and (b) that exchange rates diversify (echo) shocks from abroad for investors based in emerging (developed) economies. Our results suggest that investors need to accurately measure the diversification role of their currency when making international portfolio and risk management decisions
PB Elsevier
YR 2022
FD 2022
LK http://hdl.handle.net/10347/29103
UL http://hdl.handle.net/10347/29103
LA eng
NO Economic Modelling 114 (2022) 105914
NO Juan C. Reboredo acknowledges financial support from the Spanish Agencia Estatal de Investigacion (Ministerio de Ciencia, Innovacion y Universidades) under research project with reference RTI 2018-100702-B-I00, co-funded by the European Regional Development Fund (ERDF/FEDER) and by the Xunta de Galicia through research project CONSOLIDACION 2019 GRC GI-2060 Analise Económica dos Mercados e Institucións - AEMI (ED431C 2019/11)
DS Minerva
RD 22 abr 2026