Linkages among Latin American foreign exchange markets: a long-run perspective in the presence of structural breaks

Isabel Ruiz ()

Applied Economics Letters, 2009, vol. 16, issue 5, 509-514

Abstract: This article examines stationarity properties, linkages and market efficiency of the Latin American foreign exchange markets over the 1994 to 2005 period. By using daily data for 14 countries we apply bivariate and multivariate cointegration estimations and we further account for the presence of structural breaks or changes in regime. Bivariate cointegration tests revealed that most currencies have a long-run equilibrium relationship with the Brazilian real. Moreover, approximately between 1999 and 2001, there was a shift to a new 'long-run' equilibrium relationship.

Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:16:y:2009:i:5:p:509-514

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DOI: 10.1080/13504850601018718

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