Latin american exchange rate dependencies : a regular vine copula approach

Borradores de Economia
Number: 
729
Published: 
Classification JEL: 
C32, C51, E42
Keywords: 
Human capital agglomeration, Social returns, Private returns, Externalities, Uncertainty, Fiscal policy
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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