Exchange rate volatility, inflation targeting and global financial crisis. Evidence for Latin American economies
DOI:
https://doi.org/10.25097/rep.n30.2019.07Keywords:
Modelos GARCH, volatilidad cambiaria, metas de inflación, crisis financiera globalAbstract
The purpose of this research is to identify the asymmetric effect generated by positive and negative impacts on the exchange rate volatility. In addition to determining the effect generated by the implementation of the inflation targeting regime (IT) and the global financial crisis (GFC) in the conditional variance of the main exchange rates of Latin America (Brazil, Chile, Colombia, Mexico and Peru). We use an asymmetric model of Generalized Autoregressive Conditional Heteroskedasticity, with t-student innovations (ARIMA-GJR-GARCH), applied on daily data from 1997 to 2019. The main findings show that, there is a greater impact of exchange rate depreciations on the exchange rate volatility. In addition, it was found that the IT regime has increased the exchange rate volatility, mainly in Brazil, Chile and Mexico. Finally, the 2008 GFC seems to have generated a climate of greater exchange rate volatility in the region.
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