Theses and Dissertations

Date of Award

7-2018

Document Type

Dissertation

Degree Name

Doctor of Philosophy (PhD)

Department

Business Administration

First Advisor

Dr. Andre Mollick

Second Advisor

Dr. Diego Escobari

Third Advisor

Dr. Monika Rabarison

Abstract

The dynamic forces of commodity prices have become a subject of large interest due to the uprise of a commodity supercycle in the beginning of the 21st century. The main purpose of this dissertation is to assess the role of commodity shocks and international trade in Latin American financial and economic development in the last two decades. The first essay examines how commodity market structural shocks explain the variations in commodity prices. Structural Vector Autoregression (SVAR) results from 1997 to 2015 show that aggregate demand shocks are more evident during the recent commodity boom period and are robust to different time spans and selection of commodities. The second essay analyzes the impacts of those commodity market structural shocks on Latin American stock markets. I select stock exchange benchmark indices and individual firm stock prices to test the responses of the region’s stock markets to supply, demand and idiosyncratic shocks to commodities that correspond to the largest listed firms in Latin American stock markets. Results are consistent with the hypothesis that aggregate demand shocks play a larger role in Latin American real stock returns during the commodity boom period as compared to the pre- and post-boom periods for all commodity markets. The third essay investigates the relationship between international trade and economic growth in 14 Latin American economies from 1997 to 2014. Fixed effects panel data regressions adopting an endogenously-determined threshold estimation method examine for evidence of nonlinearity related to the increased economic volatility in the period, especially due to the 2000s commodity boom. The strong trade-growth nexus is robust to different time spans, selection of countries and controlling for the 2008-2009 financial crisis. Two-stage least squares (2SLS) regressions add robustness to results while addressing the potential endogeneity in the trade-growth relationship.

Comments

Copyright 2018 Andre Coelho Vianna. All Rights Reserved.

https://www.proquest.com/dissertations-theses/three-essays-on-economic-financial-development/docview/2100697452/se-2?accountid=7119

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