The Stylized Facts of Exchange Rates : in Brazil, Chile, Colombia, Mexico and Peru

ISBN-13: 9783330036932 / Angielski / Miękka / 2017 / 88 str.

Juan Julio

Opis

In this book, we set out to explore the stylized facts of the exchange rates in five LATAM countries and to interpret those to the light of more recent literature. A second set of not commonly explored facts was also studied. The dataset under analysis comprises daily exchange rates measures, various macro-financial indicators such as policy rates and risk measurements, as well quarterly GDP gap measures for a period of a time when these countries pursued some form of inflation targeting with differing degrees of discretionary FOREX market intervention. The countries include in this analysis are sufficiently similar to ensure that commonly stylized facts arise, and different enough to guarantee both, the robustness of our results and idiosyncratic facts to emerge.

O autorze

Juan Manuel Julio is a MSc in Statistics from the University of Chicago and is currently a Senior Researcher at the Research Unit of Banco de la Republica, the Colombian Central Bank, where he has worked since 1988. He is also a part-time Associate Professor at the Department of Statistics at Universidad Nacional de Colombia.