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Exchange Rates Contagion in Latin America

Rubén Albeiro
Loaiza-Maya
José Eduardo
Gómez-González
Luis Fernando
Melo-Velandia
Martes, 9 Septiembre 2014

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