Exchange rates contagion in Latin America

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dc.coverage.sucursalBogotáspa
dc.creatorLoaiza-Maya, Rubén Albeiro
dc.creatorGómez-González, José Eduardo
dc.creatorMelo-Velandia, Luis Fernando
dc.creator.firmaLuis Fernando Melo-Velandia
dc.date.accessioned2014-09-01T08:30:10Zeng
dc.date.available2014-09-01T08:30:10Zspa
dc.date.created2014-09-01spa
dc.date.issued2014-09-01eng
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, Ceng
dc.format.mimetypePDFspa
dc.identifier.handlehttps://hdl.handle.net/20.500.12134/6129spa
dc.identifier.urihttps://repositorio.banrep.gov.co/handle/20.500.12134/6129spa
dc.language.isospaspa
dc.publisherBanco de la Repúblicaspa
dc.relation.doihttps://doi.org/10.32468/be.842spa
dc.relation.dotechttps://ideas.repec.org/p/col/000094/012105.htmlspa
dc.relation.ispartofDocumentos de Trabajospa
dc.relation.ispartofseriesBorradores de Economíaspa
dc.relation.isversionofBorradores de Economía; No. 842spa
dc.relation.numberBorrador 842spa
dc.relation.repechttps://ideas.repec.org/p/bdr/borrec/842.htmlspa
dc.rights.accessRightsOpen Accesseng
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0eng
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.spa
dc.rights.spaAcceso abiertospa
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/eng
dc.source.handleRepecRePEc:col:000094:012105spa
dc.subject.jelC51 - Model Construction and Estimationeng
dc.subject.jelC32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Modelseng
dc.subject.jelspaC32 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión; representación de espacios de estadosspa
dc.subject.jelspaC51 - Construcción de modelos y estimaciónspa
dc.subject.keywordExchange rateseng
dc.subject.keywordContagioneng
dc.subject.keywordCopulaeng
dc.subject.keywordRegular vineeng
dc.subject.keywordLocal correlationeng
dc.subject.lembCambio exterior -- América Latina -- 2005-2012spa
dc.subject.lembTipos de cambio -- América Latina -- 2005-2012spa
dc.titleExchange rates contagion in Latin Americaspa
dc.typeWorking Papereng
dc.type.hasversionPublished Versioneng
dc.type.spaDocumentos de trabajospa

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