Transmission Dynamics in the Americas (2006-2023): Interconnections among Monetary, Commodity and Stock

This paper examined the monetary interconnectedness among various currencies in the Americas, as well as their relationship with WTI oil prices, Henry Hub gas prices, and the S&P 500 indicator. The analysis employed the methodology proposed by Diebold & Yilmaz (2012). The findings unveiled a robust interconnectivity among the variables under study and the propagation of shocks throughout the analyzed timeframe. Concerning the indirect impacts of volatility transmitted across different markets, it was observed that currencies such as BRL, MX, and CAD, along with WTI oil prices and the S&P 500 indicator, have the potential to generate heightened volatility transmission. On the other hand, COP, CLP, and PEN were identified as receiver of volatility in this context.