Exchange rates contagion in Latin America

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Borradores de Economía; No. 842
Date published
2014-09-01
Date of last update
2014-09-01
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
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, C
JEL Codes
C51 - Model Construction and EstimationC32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Keywords
Exchange rates ; Contagion ; Copula ; Regular vine ; Local correlation ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/6129
https://hdl.handle.net/20.500.12134/6129
https://doi.org/10.32468/be.842
https://ideas.repec.org/p/bdr/borrec/842.html
https://ideas.repec.org/p/col/000094/012105.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