Exchange rates contagion in Latin America

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, C

Detalles Bibliográficos
Autores Principales: Loaiza-Maya, Rubén Albeiro, Gómez-González, José Eduardo, Melo-Velandia, Luis Fernando
Formato: Documento de trabajo (Working Paper)
Lenguaje:Español (Spanish)
Publicado: Banco de la República 2014
Materias:
Acceso en línea:http://repositorio.banrep.gov.co/handle/20.500.12134/6129
id oai:RI-BanRep:20.500.12134-6129
recordtype dspace
spelling oai:RI-BanRep:20.500.12134-61292019-04-16T16:26:25Z Exchange rates contagion in Latin America Loaiza-Maya, Rubén Albeiro Gómez-González, José Eduardo Melo-Velandia, Luis Fernando C51 - Model Construction and Estimation C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models Exchange rates Contagion Copula Regular vine Local correlation Cambio exterior -- América Latina -- 2005-2012 Tipos de cambio -- América Latina -- 2005-2012 C32 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión; representación de espacios de estados C51 - Construcción de modelos y estimación 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, C 2014-09-01 2014-09-01 Working Paper Documentos de trabajo Published Version http://repositorio.banrep.gov.co/handle/20.500.12134/6129 http://hdl.handle.net/20.500.12134/6129 spa Documentos de Trabajo Borradores de Economía Borradores de Economía; No. 842 https://ideas.repec.org/p/bdr/borrec/842.html https://ideas.repec.org/p/col/000094/012105.html Open Access https://creativecommons.org/licenses/by-nc-sa/4.0/ Acceso abierto Atribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0 Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva. PDF application/pdf image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg Bogotá Banco de la República
institution Repositorio Institucional del Banco de la República de Colombia
collection DSpace
language Español (Spanish)
topic C51 - Model Construction and Estimation
C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Exchange rates
Contagion
Copula
Regular vine
Local correlation
Cambio exterior -- América Latina -- 2005-2012
Tipos de cambio -- América Latina -- 2005-2012
C32 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión; representación de espacios de estados
C51 - Construcción de modelos y estimación
spellingShingle C51 - Model Construction and Estimation
C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Exchange rates
Contagion
Copula
Regular vine
Local correlation
Cambio exterior -- América Latina -- 2005-2012
Tipos de cambio -- América Latina -- 2005-2012
C32 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión; representación de espacios de estados
C51 - Construcción de modelos y estimación
Loaiza-Maya, Rubén Albeiro
Gómez-González, José Eduardo
Melo-Velandia, Luis Fernando
Exchange rates contagion in Latin America
description 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, C
format Documento de trabajo (Working Paper)
author Loaiza-Maya, Rubén Albeiro
Gómez-González, José Eduardo
Melo-Velandia, Luis Fernando
author_facet Loaiza-Maya, Rubén Albeiro
Gómez-González, José Eduardo
Melo-Velandia, Luis Fernando
author_sort Loaiza-Maya, Rubén Albeiro
title Exchange rates contagion in Latin America
title_short Exchange rates contagion in Latin America
title_full Exchange rates contagion in Latin America
title_fullStr Exchange rates contagion in Latin America
title_full_unstemmed Exchange rates contagion in Latin America
title_sort exchange rates contagion in latin america
publisher Banco de la República
publishDate 2014
url http://repositorio.banrep.gov.co/handle/20.500.12134/6129
_version_ 1637302715636776960
score 12,131701