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dc.creatorLoaiza-Maya, Rubén Albeiro
dc.creatorGómez-González, José Eduardo
dc.creatorMelo-Velandia, Luis Fernando
dc.date.created2014-09-01
dc.date.issued2014-09-01
dc.identifier.urihttp://repositorio.banrep.gov.co/handle/20.500.12134/6129
dc.description.abstractA 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, C
dc.format.mimetypePDF
dc.language.isospa
dc.publisherBanco de la República
dc.relation.ispartofDocumentos de Trabajo
dc.relation.ispartofseriesBorradores de Economía
dc.relation.isversionofBorradores de Economía; No. 842
dc.rights.accessRightsOpen Access
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/
dc.titleExchange rates contagion in Latin America
dc.typeWorking Paper
dc.subject.jelC51 - Model Construction and Estimation
dc.subject.jelC32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
dc.subject.keywordExchange rates
dc.subject.keywordContagion
dc.subject.keywordCopula
dc.subject.keywordRegular vine
dc.subject.keywordLocal correlation
dc.subject.lembCambio exterior -- América Latina -- 2005-2012
dc.subject.lembTipos de cambio -- América Latina -- 2005-2012
dc.type.spaDocumentos de trabajo
dc.rights.spaAcceso abierto
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0
dc.subject.jelspaC32 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión; representación de espacios de estados
dc.subject.jelspaC51 - Construcción de modelos y estimación
dc.type.hasversionPublished Version
dc.coverage.sucursalBogotá
dc.relation.doihttp://doi.org/10.32468/be.842
dc.rights.disclaimerLas opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
dc.relation.numberBorrador 842
dc.relation.repechttps://ideas.repec.org/p/bdr/borrec/842.html
dc.relation.dotechttps://ideas.repec.org/p/col/000094/012105.html
dc.identifier.handlehttp://hdl.handle.net/20.500.12134/6129
dc.creator.firmaLuis Fernando Melo-Velandia


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This work is licensed under a Creative Commons Reconocimiento-NoComercial 4.0.This document has been deposited by the author (s) under the following certificate of deposit