Macrofinancial interconnections in the Pacific Alliance: a quantile approach of stock markets and macroeconomic factors

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.