TY - JOUR
T1 - Exchange rate contagion in Latin America
AU - Loaiza-Maya, Ruben Albeiro
AU - Gomez-Gonzales, Jose Eduardo
AU - Melo-Velandia, Luis Fernando
PY - 2015/5/1
Y1 - 2015/5/1
N2 - 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.
AB - 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.
KW - Contagion
KW - Copula
KW - Exchange rates
KW - Local correlation
KW - Regular vine
UR - http://www.scopus.com/inward/record.url?scp=84924283473&partnerID=8YFLogxK
U2 - 10.1016/j.ribaf.2015.02.019
DO - 10.1016/j.ribaf.2015.02.019
M3 - Article
AN - SCOPUS:84924283473
SN - 0275-5319
VL - 34
SP - 355
EP - 367
JO - Research in International Business and Finance
JF - Research in International Business and Finance
ER -