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Mean and Variance Causality between Official and Parallel Currency Markets: Evidence from Four Latin American Countries

Kanas, Angelos, Kouretas, Georgios P. (2002) Mean and Variance Causality between Official and Parallel Currency Markets: Evidence from Four Latin American Countries. The Financial Review, 37 (2). pp. 137-163. (doi:10.2139/ssrn.246825) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
Official URL
http://dx.doi.org/10.2139/ssrn.246825

Abstract

This paper examines the issue of mean and variance causality across four Latin American official and black markets for foreign currency using monthly data for the period 1976-1993. We apply a recent test developed by Cheung and Ng (1996) in order to test for mean and variance spillovers. The main findings are: (1) In contrast to the findings of previous studies, EGARCH-M processes characterize each bilateral exchange rate series in both markets: (2) There is substantial evidence of causality in both mean and variance with the causality in mean largely being driven by the causality in variance; and (3) The results indicate that the major exporter of causality is the Mexican black market with the black market of Argentina and the black and official markets of Brazil being the smallest contributors. Copyright 2002 by the Eastern Finance Association.

Item Type: Article
DOI/Identification number: 10.2139/ssrn.246825
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Tracey Pemble
Date Deposited: 22 May 2014 14:21 UTC
Last Modified: 29 May 2019 12:36 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/41153 (The current URI for this page, for reference purposes)
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