NDLI: Exchange Rates Contagion in Latin America 1

Content Provider	Semantic Scholar
Author	Albeiro, Rubén Maya, Loaiza Gómez-González, José Eduardo Fernando, Luís Velandia, Melo
Copyright Year	2014
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, Colombian and Mexican exchange rates. However, there are interesting differences in contagion during periods of large exchange rate depreciation and appreciation. Our results have important implications for the response of Latin American countries to currency crises originated abroad.
File Format	PDF HTM / HTML
Alternate Webpage(s)	http://www.banrep.gov.co/sites/default/files/publicaciones/archivos/be_842.pdf
Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Article

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