What Exactly is 'Bad News' in Foreign Exchange Markets?: Evidence from Latin American Markets

dc.creatorMAYA,CECILIA
dc.creatorGÓMEZ,KAROLL
dc.date2008-11-01
dc.date.accessioned2017-03-07T16:06:34Z
dc.date.available2017-03-07T16:06:34Z
dc.identifierhttp://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0717-68212008000200001
dc.identifier.urihttp://repositorioslatinoamericanos.uchile.cl/handle/2250/396233
dc.descriptionThis paper asks whether the 'leverage effect -as defined by Black (1976) for stock markets- is also a characteristic of foreign exchange markets. The study focuses on five Latin American emerging markets which have adopted a floating exchange regime. It finds that the response of exchange rates to volatility shocks is characterized by long memory and symmetry in most countries. The response is asymmetric only in Brazil and Peru. A possible explanation for this asymmetry is the fear of floating' that induces side-effects on interest rates and inflation, which the market considers 'bad news'. The opposite direction of the asymmetry may be explained by the particular characteristics of each economy.
dc.formattext/html
dc.languageen
dc.publisherInstituto de Economía, Pontificia Universidad Católica de Chile
dc.sourceCuadernos de economía v.45 n.132 2008
dc.subjectExchange Rate Volatility
dc.subjectLeverage Effect
dc.subjectAsymmetric Volatility
dc.subjectGARCH
dc.subjectHYAPARCH
dc.titleWhat Exactly is 'Bad News' in Foreign Exchange Markets?: Evidence from Latin American Markets
dc.typeArtículos de revistas


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