Change Markets and Exchange Rates of Asia and Latin America: Long-Term Synchronization, Structural Changes and Stochastic Shocks

Authors

  • Antonio Ruiz Porras Universidad de Guadalajara, CUCEA
  • Luis Enrique Fregoso Becerra Universidad de Guadalajara, CUCEA

DOI:

https://doi.org/10.46661/revmetodoscuanteconempresa.2375

Keywords:

tipos de cambio, Asia, Latinoamérica, cointegración, cambio estructural endógeno, impulso-respuesta, exchange rates, Latin America, cointegration, endogenous structural change, impulse-response

Abstract

The exchange markets and the exchange rates of Asia and Latin America are studied econometrically. Endogenous structural change and cointegration analyzes and impulse-response functions are used. The findings indicate that: 1) the long-term timing of the exchange markets is low; 2) there is no evidence of synchronization in Asian markets; 3) a stochastic shock in a Latin American country has effects of greater magnitude and duration than a similar shock in an Asian country; and 4) there is no evidence that the Global Financial Crisis has induced structural changes in the dynamics of exchange rates. The daily spot exchange rates of Argentina, Brazil, Chile, China, Colombia, South Korea, India, Malaysia, Mexico and Thailand are used for the period from August 5, 2002 to January 22, 2016.

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Author Biography

Antonio Ruiz Porras, Universidad de Guadalajara, CUCEA

Profesor-Investigador del Departamento de Métodos Cuantitativos

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Published

2018-06-30

How to Cite

Ruiz Porras, A., & Fregoso Becerra, L. E. (2018). Change Markets and Exchange Rates of Asia and Latin America: Long-Term Synchronization, Structural Changes and Stochastic Shocks. Journal of Quantitative Methods for Economics and Business Administration, 25, Páginas 295 a 317. https://doi.org/10.46661/revmetodoscuanteconempresa.2375

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