What Exactly is "Bad News" in Foreign Exchange Markets? Evidence from Latin American Markets
AbstractThis 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
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Bibliographic InfoArticle provided by Instituto de Economía. Pontificia Universidad Católica de Chile. in its journal Cuadernos de Economía-Latin American Journal of Economics.
Volume (Year): 45 (2008)
Issue (Month): 132 ()
Find related papers by JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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