AN EMPIRICAL ANALYSIS OF U.S. EQUITY MARKET SPILLOVER EFFECTS INTO THE EQUITY AND LABOR MARKETS OF BRAZIL

Abstract

This study examines transmission of U.S. equity markets returns and volatility into Brazilian equity and labor markets. Monthly closing prices of U.S. S&P500 and Bovespa indexes are used to proxy U.S. and Brazilian equity market returns. Brazilian monthly unemployment rates and the average wage index are used to measure U.S. equity market spillovers on foreign labor markets. Using a vector autoregression (VAR) model, a unidirectional return and volatility transmission from the U.S. to Brazil is found. The evidence also indicates that there is a weaker but significant lagged spillover of U.S. stock returns and volatility to the Brazilian labor market.

Citation

Bangura, A. and Curci, R. (2005), "AN EMPIRICAL ANALYSIS OF U.S. EQUITY MARKET SPILLOVER EFFECTS INTO THE EQUITY AND LABOR MARKETS OF BRAZIL", Arbelaez, H. and Click, R.W. (Ed.) Latin American Financial Markets: Developments in Financial Innovations (International Finance Review, Vol. 5), Emerald Group Publishing Limited, Leeds, pp. 365-381. https://doi.org/10.1016/S1569-3767(05)05017-X