What Exactly is "Bad News" in Foreign Exchange Markets? Evidence from Latin American Markets

Cecilia Maya and Karoll Gomez

Latin American Journal of Economics-formerly Cuadernos de Economía, 2008, vol. 45, issue 132, 161-183

Abstract: This paper asks whether the ‘leverage effect’ –as defined by Black (1976) for stock markets– is also a characteristic of foreign exchange markets. The study focuses on five Latin American emerging markets which have adopted a floating exchange regime. It

Keywords: Exchange rate volatility; leverage effect; asymmetric volatility; GARCH; HYAPARCH (search for similar items in EconPapers)
JEL-codes: C10 C22 F31 G10 G15 (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.economia.uc.cl/docs/132mayaa.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ioe:cuadec:v:45:y:2008:i:132:p:161-183

Ordering information: This journal article can be ordered from

Access Statistics for this article

Latin American Journal of Economics-formerly Cuadernos de Economía is currently edited by Raimundo Soto

More articles in Latin American Journal of Economics-formerly Cuadernos de Economía from Instituto de Economía. Pontificia Universidad Católica de Chile. Contact information at EDIRC.
Bibliographic data for series maintained by Jaime Casassus ().