Abstract
This study explores the macrofinancial interconnectedness within the Pacific Alliance (Chile,
Colombia, Mexico, and Peru) by utilizing a Quantile Vector Autoregression (QVAR) approach to
dissect the directional spillover effects between macroeconomic variables and MSCI stock indices.
By employing autoencoder techniques for dimensionality reduction, the research decodes significant macroeconomic dimensions influencing stock market behaviours. The findings show
patterns of spillover effects, highlighting the variable roles of these economies as transmitters
and receivers of economic shocks, particularly after the Pacific Alliance agreement.
Colombia, Mexico, and Peru) by utilizing a Quantile Vector Autoregression (QVAR) approach to
dissect the directional spillover effects between macroeconomic variables and MSCI stock indices.
By employing autoencoder techniques for dimensionality reduction, the research decodes significant macroeconomic dimensions influencing stock market behaviours. The findings show
patterns of spillover effects, highlighting the variable roles of these economies as transmitters
and receivers of economic shocks, particularly after the Pacific Alliance agreement.
| Original language | English |
|---|---|
| Pages (from-to) | 1-9 |
| Number of pages | 9 |
| Journal | Applied Economics Letters |
| DOIs | |
| State | Published - 12 Aug 2024 |
Keywords
- Autoencoders
- macroeconomic dimensions
- spillover effects
- stock market indices
- Quantile Vector Autoregression (QVAR)