Latin american exchange rate dependencies : a regular vine copula approach

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Borradores de Economía; No. 729

Date published

2012-08-15

Date

2012-08-15

Authors

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

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ISSN

ISBN

Document language

spa
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Las 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.

The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.

Abstract

This study implements a regular vine copula methodology to evaluate the level of contagion among the exchange rates of six Latin American countries (Argentina, Brazil, Chile, Colombia, Mexico and Peru) from June 2005 to April 2012. We measure contagion in

Description

JEL Codes

C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

Temática

Keywords

Keywords

Copula , Regular vine , Exchange rates , Tail dependence coefficients

Citation

URI

https://repositorio.banrep.gov.co/handle/20.500.12134/5774
 https://hdl.handle.net/20.500.12134/5774
 https://ideas.repec.org/p/bdr/borrec/729.html
 https://doi.org/10.32468/be.729

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Borradores de Economía

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Esta obra está bajo licencia internacional Creative Commons Reconocimiento-NoComercial 4.0.

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