Latin american exchange rate dependencies : a regular vine copula approach

Número: 
729
Publicado: 
Clasificación JEL: 
C32, C51, E42
Palabras clave: 
Copula, Regular Vine, Exchange Rates, Tail Dependence Coefficients

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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