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

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  • Cecilia Maya
  • Karoll Gómez
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    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

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    File URL: http://www.economia.puc.cl/docs/132mayaa.pdf
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    Bibliographic Info

    Article 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 ()
    Pages: 161-183

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    Handle: RePEc:ioe:cuadec:v:45:y:2008:i:132:p:161-183

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    Related research

    Keywords: Exchange rate volatility; leverage effect; asymmetric volatility; GARCH; HYAPARCH;

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