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1 novembre 2008
- handle: 10670/1.qbh4rj
Ce document est lié à :
10.4067/S0717-68212008000200001
info:eu-repo/semantics/openAccess
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Bad tidings Tidings, Bad News, Bad Sad news Foreign exchange markets Exchange market FX market Public marketsCiter ce document
CECILIA MAYA et al., « What Exactly is 'Bad News' in Foreign Exchange Markets?: Evidence from Latin American Markets », Cuadernos de Economía - Latin American Journal of Economics, ID : 10670/1.qbh4rj
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Résumé
This 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.