Article ID Journal Published Year Pages File Type
1003118 Research in International Business and Finance 2015 13 Pages PDF
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.

Graphical abstractEstimated regular vine. The numbers indicate the exchange rates of the 6 Latin American countries as follows: 1 = ARG, 2 = BRA, 3 = CHI, 4 = COL, 5 = MEX, 6 = PER.Figure optionsDownload full-size imageDownload as PowerPoint slide

Related Topics
Social Sciences and Humanities Business, Management and Accounting Business and International Management
Authors
, , ,