Do economic news releases affect tail risk? Evidence from an emerging market

Author First name, Last name, Institution

Konstantinos Gkillas, Panepistimion Patron
Christoforos Konstantatos, Panepistimion Patron
Athanasios Tsagkanos, Panepistimion Patron
Costas Siriopoulos, Zayed University

Document Type

Article

Source of Publication

Finance Research Letters

Publication Date

1-1-2020

Abstract

© 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.

DOI Link

10.1016/j.frl.2020.101727

ISSN

1544-6131

Publisher

Elsevier Ltd

First Page

101727

Disciplines

Business

Keywords

CaViaR, Economic news, Mexico, Tail risk

Scopus ID

85089868253

Recommended Citation

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.
https://zuscholars.zu.ac.ae/works/1299

Indexed in Scopus

yes

Open Access

no