Do economic news releases affect tail risk? Evidence from an emerging market
Source of Publication
Finance Research Letters
© 2020 Elsevier Inc. We study the impact of economic news releases of the United States on the tail risk of Mexican financial markets. We also control for the impact of (domestic) economic news releases of Mexico. We consider daily data for: (i) the equity market, (ii) the foreign exchange market, as well as (iii) sovereign bonds, (iv) financial institutional bonds and (v) corporate bonds. We estimate tail risk with the use of Value at Risk by employing conditional autoregressive Value at Risk specifications. The models considered are: (i) the adaptive model, (ii) the symmetric slope model, (iii) the asymmetric slope model and (iv) the indirect generalized autoregressive conditional heteroskedasticity model with an autoregressive mean. The empirical findings show that economic news releases of the US and Mexico have a statistically significant impact on the tail risk of Mexican financial markets.
CaViaR, Economic news, Mexico, Tail risk
Gkillas, Konstantinos; Konstantatos, Christoforos; Tsagkanos, Athanasios; and Siriopoulos, Costas, "Do economic news releases affect tail risk? Evidence from an emerging market" (2020). All Works. 1299.
Indexed in Scopus