Latin American Exchange Rate Dependencies: A Regular Vine Copula Approach
This study implements a regular vine copula methodology to evaluate the level of contagion among the exchange rates of six Latin American countries (Argentina, Brazil, Chile, Colombia, Mexico and Peru) from June 2005 to April 2012. We measure contagion in terms of tail dependence coefficients, following Fratzscher´s  definition of contagion as interdependence.Our results indicate that these countries are divided into two blocs. The first bloc consists of Brazil, Colombia, Chile and Mexico, whose exchange rates exhibit the largest dependence coefficients, and the second bloc consists of Argentina and Peru, whose exchange rate dependence coefficients with other Latin American countries are low. We also found that most of the Latin American exchange rate pairs exhibit asymmetric behaviors characterized by non-significant upper tail dependence and significant lower tail dependence. These results imply that there exists contagion in Latin American exchange rates in periods of large appreciations
|Date of creation:||23 Aug 2012|
|Date of revision:|
|Contact details of provider:|| |
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Orlov, Alexei G., 2009. "A cospectral analysis of exchange rate comovements during Asian financial crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 742-758, December.
- repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
- Oscar Becerra & Luis Fernando Melo, 2008.
"Medidas De Riesgo Financiero Usando Cópulas: Teoría Y Aplicaciones,"
BORRADORES DE ECONOMIA
004523, BANCO DE LA REPÚBLICA.
- Oscar Becerra & Luis Fernando Melo, . "Medidas de riesgo financiero usando cópulas: teoría y aplicaciones," Borradores de Economia 489, Banco de la Republica de Colombia.
- Meltem Gulenay Chadwick & Fatih Fazilet & Necati Tekatli, 2012. "Common Movement of the Emerging Market Currencies," Working Papers 1207, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Sigridur Benediktsdottir & Chiara Scotti, 2009. "Exchange rates dependence: what drives it?," International Finance Discussion Papers 969, Board of Governors of the Federal Reserve System (U.S.).
When requesting a correction, please mention this item's handle: RePEc:col:000094:009902. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Clorith Angélica Bahos Olivera)
If references are entirely missing, you can add them using this form.