Exchange Rates Contagion in Latin America

Serie

• Borradores de economía

Resumen

• A regular vine copula approach is implemented for testing for contagion among the exchange rates of the six largest Latin American countries. Using daily data from June 2005 through April 2012, we find evidence of contagion among the Brazilian, Chilean, Colombian and Mexican exchange rates. However, there are interesting differences in contagion during periods of large exchange rate depreciation and appreciation. Our results have important implications for the response of Latin American countries to currency crises originated abroad.

autores

• Gómez-González, José Eduardo
• Loaiza-Maya, Rubén Albeiro
• Melo-Velandia, Luis Fernando

fecha de publicación

• 2014-09

Área temática

• C32 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión; representación de espacios de estados
• C51 - Construcción de modelos y estimación

Enfoque geográfico

• South America  Continent

Líneas de investigación

• Contagion
• Copula
• Exchange Rates
• Local Correlation
• Regular Vine

Identificador de objeto digital (DOI)

• https://doi.org/10.32468/be.842

Issue

• 12105