Exchange Rates Contagion in Latin America

Rubén Loaiza Maya, Jose Gomez-Gonzalez and Luis Melo-Velandia

No 12105, Borradores de Economia from Banco de la Republica

Abstract: 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.

Keywords: Exchange Rates; Contagion; Copula; Regular Vine; Local correlation. (search for similar items in EconPapers)
JEL-codes: C32 C51 (search for similar items in EconPapers)
Pages: 17
Date: 2014-09-01
New Economics Papers: this item is included in nep-cba, nep-lam and nep-opm
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http://www.banrep.gov.co/sites/default/files/publicaciones/archivos/be_842.pdf

Related works:
Journal Article: Exchange rate contagion in Latin America (2015)
Working Paper: Exchange Rates Contagion in Latin America (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:col:000094:012105

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