Abstract

ROSAS ROJAS, Eduardo; LAPA GUZMAN, Javier  and  BALTAZAR ESCALONA, Juan Carlos. Exchange rate volatility, inflation targeting and global financial crisis. Evidence for Latin American economies. Revista Economía y Política [online]. 2019, n.30, pp.153-173.  Epub July 03, 2019. ISSN 2477-9075.

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 Targets (IM) regime and the global financial crisis (GFC) in the conditional variance of the main exchange rates of Latin America (Brazil, Chile, Colombia, Mexico and Peru). An asymmetric model of Generalized Autoregressive Conditional heterocedasticity is used, with student t innovations (ARIMA-GJR-GARCH), applied on daily data from 1997 to 2019. The main findings show that there is a greater impact of exchange depreciations on the volatility of the exchange rate. In addition, it was found that the IM scheme has increased currency volatility, mainly in Brazil, Chile and Mexico. Finally, the 2008 CFG appears to have generated a climate of greater volatility in the region's currencies.

Keywords : GARCH models; exchange rate volatility; inflation targeting; global financial crisis.

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