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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...

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Publicado en:Contemporary Economic Policy Vol. 33; no. 3; pp. 535 - 550
Autores principales: Loaiza Maya, Rubén Albeiro, Gomez‐Gonzalez, Jose Eduardo, Melo Velandia, Luis Fernando
Formato: Artículo
Publicado: Wiley-Blackwell Jul2015
Materias:
Latin America
International economic relations
Foreign exchange rates
Copula functions
Hedging (Finance)
Financial markets
Acceso en línea:Ver este registro en EBSCOhost