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 of last update
2012-08-15
Author
Loaiza-Maya, Rubén Albeiro
Gómez-González, José Eduardo
Melo-Velandia, Luis Fernando
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.
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
JEL Codes
C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space ModelsC51 - Model Construction and EstimationE42 - Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems
Keywords
Copula ; Regular vine ; Exchange rates ; Tail dependence coefficients ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/5774
https://hdl.handle.net/20.500.12134/5774
https://doi.org/10.32468/be.729
https://ideas.repec.org/p/bdr/borrec/729.html
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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