Exchange rates contagion in Latin America

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Borradores de Economía; No. 842

Date published

2014-09-01

Date

2014-09-01

Authors

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

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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

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

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JEL Codes

C51 - Model Construction and Estimation
C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

Temática

Keywords

Keywords

Exchange rates , Contagion , Copula , Regular vine , Local correlation

Citation

URI

https://repositorio.banrep.gov.co/handle/20.500.12134/6129
 https://hdl.handle.net/20.500.12134/6129
 https://ideas.repec.org/p/bdr/borrec/842.html
 https://doi.org/10.32468/be.842

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

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