LATIN AMERICAN EXCHANGE RATE DEPENDENCIES: A REGULAR VINE COPULA APPROACH.
This study implements a regular vine copula methodology to evaluate the level of contagion among the exchange rates of six Latin American countries (Argentina, Brazil, Chile, Colombia, Mexico, and Peru) from June 2005 to April 2012. We measure contagion in terms of tail dependence coefficients, foll...
| Publicado en: | Contemporary Economic Policy Vol. 33; no. 3; pp. 535 - 550 |
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| Autores principales: | , , |
| Formato: | Artículo |
| Publicado: |
Wiley-Blackwell
Jul2015
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| Materias: | |
| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=102580042&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 102580042 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 10743529 CEY jtl: Contemporary Economic Policy issn: 10743529 maglogo: Y pubinfo: dt: Jul2015 vid: 33 iid: 3 pid: 480 pub: Wiley-Blackwell artinfo: ui: 102580042 10.1111/coep.12091 ppf: 535 ppct: 15 formats: fmt: – @attributes: type: T – @attributes: type: P size: 1.3MB tig: atl: LATIN AMERICAN EXCHANGE RATE DEPENDENCIES: A REGULAR VINE COPULA APPROACH. aug: au: Loaiza Maya, Rubén Albeiro Gomez‐Gonzalez, Jose Eduardo Melo Velandia, Luis Fernando affil: Department of Economics, University of Melbourne, Australia Research Department, Banco de la República (Central Bank of Colombia), Bogotá Colombia Econometrics Unit, Banco de la República (Central Bank of Colombia), Bogotá Colombia su: Latin America International economic relations Foreign exchange rates Copula functions Hedging (Finance) Financial markets sug: subj: International economic relations Latin America International assistance Securities and Commodity Exchanges Investment Banking and Securities Dealing Foreign exchange rates Copula functions Hedging (Finance) Financial markets ab: This study implements a regular vine copula methodology to evaluate the level of contagion among the exchange rates of six Latin American countries (Argentina, Brazil, Chile, Colombia, Mexico, and Peru) from June 2005 to April 2012. We measure contagion in terms of tail dependence coefficients, following Fratzscher's (1999) definition of contagion as interdependence. Our results indicate that these countries are divided into two blocks. The first block consists of Brazil, Colombia, Chile, and Mexico, whose exchange rates exhibit the largest dependence coefficients, and the second block consists of Argentina and Peru, whose exchange rate dependence coefficients with other Latin American countries are low. We also found that most of the Latin American exchange rate pairs exhibit asymmetric behaviors characterized by nonsignificant upper tail dependence and significant lower tail dependence. These results imply that there exists contagion in Latin American exchange rates in periods of large appreciations, whereas there is no evidence of contagion during periods of currency depreciation. This empirical regularity may reflect the 'fear of appreciation' in emerging economies identified by Levy-Yeyati, Sturzenegger, and Gluzmann (2013). ( JEL C32, C51, E42) pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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