Asymmetric effects in the relationship of stock prices with the exchange rate, world oil prices and the interest rate in the face of the Covid-19 pandemic
DOI:
https://doi.org/10.29201/peipn.v16i32.14Keywords:
stock market, exchange rate, oil price, NARDL modelAbstract
This paper analyzes the influence of the exchange rate, world oil prices and the overnight equilibrium interbank interest rate (TIIE) on the Índice de Precios y Cotizaciones (IPC) of la Bolsa Mexicana de Valores during the Covid-19 outbreak, the period of confinement and the beginning of the return to the new normal in Mexico. Using a non-linear ARDL (NARDL) model, the asymmetric effects of these variables on the stock market indicator from December of last year to the first half of 2020 are considered, finding that, at least for the period under study, to explain the stock market behavior is relevant consider differentiated (asymmetric) effects in the effects of the stated variables.
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