文章基本信息

标题：Excess Returns and Systemic Risk for Chile and Mexico
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作者：Guay C. Lim ; Paul D. McNelis
期刊名称：Revista de Análisis Económico (RAE)
印刷版ISSN：0716-5927
电子版ISSN：0718-8870
出版年度：2000
卷号：15
期号：1
页码：3-25
出版社：ILADES & Universidad Alberto Hurtado
摘要：This paper is concerned with excess returns in the equity markets and the evolution of systemic risk in Chile and Mexico during the years 1989-1998, a period of financial openness, policy reform and crisis. A time varying generalised autoregressive conditional heteroscedastic in mean framework is used to estimate progressively more complex models of risk. They include the univariate own volatily model, the bivariate market pricing model, and the trivariate intertemporal asset pricing model. The results show no evidence of a significant reduction in systemic risk rather excess returns have remained volatile for both countries. For Chile, excess returns are significantly related to own lagged levels, while for Mexico excess are significantly related to own lagged variances. The influence of global factors are relatively minimal compared to potential home factors.