Exchange rate contagion in Latin America

Ruben Albeiro Loaiza-Maya, Jose Eduardo Gomez-Gonzales, Luis Fernando Melo-Velandia

Research output: Contribution to journalArticleResearchpeer-review

18 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)355-367
Number of pages13
JournalResearch in International Business and Finance
Volume34
DOIs
Publication statusPublished - 1 May 2015
Externally publishedYes

Keywords

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

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