Exchange Rates

The Global Financial Cycle (GFC), defined as the fluctuations in international capital flows, asset prices, and risk appetite, has garnered significant attention from the recent international finance literature, market practitioners, and policymakers. This study employs…

Foreign portfolio investments can affect the Colombian exchange market mainly through the demand for hedging that investors make in the foreign exchange derivatives market, and the exchange of dollars for pesos that materializes when investing in public debt…

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The paper develops a New Keynesian Small Open Economy Model characterized by external habit formation and Calvo price setting with dynamic inflation updating. The model is used to analyze the effect of nominal ex-change rate targeting on optimal policy and impulse responses. It is found that…

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 terms of tail dependence coefficients,…

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, Colombian and Mexican exchange rates.…

This paper provides evidence of short-run predictability for the real exchange rate by performing out-of-sample tests of a forecasting equation which is derived from a consumption-based asset pricing model. In this model, the real exchange rate is predictable as a result of the implications of…