The aim of this paper is to evaluate the level of contagion in the Latin American exchange rate market using a methodology that goes beyond the simple analysis of correlation breakdowns.
The Latin American Exchange Rate Dependencies 3 results show that their exchange rate co-movement exhibits asymmetric behavior.
All of the remaining Latin American exchange rate pairs show asymmetric behavior characterized by nonsignificant large depreciation upper tail dependence and significant lower tail dependence.
In this article, we are interested in studying the Latin American exchange rates level of contagion following Fratzscher's (1999) definition.
An empirical application for the Latin American exchange rates is shown in Section III.
The upper tail dependence coefficients of the six Latin American exchange rates are displayed in the top right panel of Table 2.
Most of the estimated upper tail dependence coefficients of the six Latin American exchange rates show no significant results.
In a pure accounting sense, Engel shows that real
American exchange rate changes are accounted for almost completely by changes in nominal exchange rates; prices (even the relative price of nontradables) account for almost none of the variance, even at low frequencies.
