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Exchange Rate Volatility in LATAM: Common and Idiosyncratic Factors

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  • Pérez Forero, Fernando

    (Banco Central de Reserva del Perú)

Abstract

En este trabajo se analiza la volatilidad de los rendimientos diarios de las principales monedas latinoamericanas frente al dólar (Brasil, Chile, Colombia, México y Perú) durante los últimos veinte años. En base a un marco simple de volatilidad estocástica bayesiana, es posible identificar el factor de sincronización global de estas monedas y distinguirlo del componente idiosincrático de cada país. El factor global capturado se encuentra altamente correlacionado con indicadores de volatilidad populares, como el VIX o el EPU de los EEUU. También encontramos que la proporción de volatilidad explicada por el factor global es significativamente mayor que la del componente idiosincrático. Asimismo, la volatilidad idiosincrática es mucho menor en el caso de Per ‘u en comparación con sus pares de la región, siendo Brasil el país con el componente más volátil. Naturalmente, las características de cada mercado, la credibilidad y confianza en la moneda nacional, más la incertidumbre política y la intervención cambiaria del banco central, juegan un papel importante en la determinación de dichas volatilidades.

Suggested Citation

  • Pérez Forero, Fernando, 2022. "Exchange Rate Volatility in LATAM: Common and Idiosyncratic Factors," Working Papers 2022-001, Banco Central de Reserva del Perú.
    • Handle: RePEc:rbp:wpaper:2022-001
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    More about this item

    Keywords

    FX Markets; Stochastic Volatility;

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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