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- Title
Dependencia condicional en colas entre el mercado accionario y el crecimiento económico: el caso mexicano.
- Authors
Lorenzo Valdés, Arturo; Massa Roldán, Ricardo
- Abstract
Research on the relationship between financial markets and economic growth has focused on finding their causal influence and long-term relationship with inconclusive results. The typical tools used for these purposes assume a bivariate Gaussian normal distribution, hence elements such as asymmetric dependence is not captured. The present work used the conditional bivariate copula-TGARCH tool to determine the conditional dependence between the monthly returns of the Mexican stock exchange price index (IPC) and the index measuring the overall growth of economic activity (IGAE) for the January 1993 to June 2015 period. Our results suggest a dependence relationship that varies with time; it is higher in near crisis periods and weakens afterwards.
- Subjects
MEXICO; GAUSSIAN distribution; COPULA functions; ECONOMIC development
- Publication
Investigación Económica, 2016, Vol 75, Issue 296, p111
- ISSN
0185-1667
- Publication type
Article