Borradores de Economia
Número:
729
Publicado:
Clasificación JEL:
C32, C51, E42
Palabras clave:
Copula, Regular Vine, Exchange Rates, Tail Dependence Coefficients
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Jorge Florez-Acosta, Margarita María Gáfaro-González, Alejandra González-Ramírez, Juan Sebastián Vélez-Velásquez
Sandra Isabel Salamanca-Gil, Enrique Montes-Uribe, Juan Sebastián Silva-Rodríguez
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