We study exchange rate dependencies between seven countries from four different regions of the world. Our sample includes two developed countries, the United Kingdom and Germany (representing the Euro Area), two large emerging Asian economies, South Korea and Indonesia, two Latin American countries, Brazil and Chile, and South Africa. The currencies of all of these countries are actively traded in global forex markets and all of them are important for large international portfolio composition and rebalancing. We construct multivariate copula functions using a regular vine copula approach, allowing for very flexible dependency structures. We find evidence of exchange rate contagion for our set of countries. However, important asymmetries are worth noting. First, contagion occurs only during periods of exchange rate appreciation of the different currencies with respect to the United States Dollar. We do not find evidence of contagion for any pair of exchange rates during periods of currency depreciations. Second, contagion is more frequent in pairs of countries that include either the United Kingdom or Germany. In fact, the largest tail dependence coefficient corresponds to the pair composed by these two countries' exchange rates. Third, contagion occurs more within countries of a same region, for instance, between Brazil and Chile, and between Korea and Indonesia. This result shows that, in episodes of large currency appreciation, hedging strategies for global investors taking positions in large markets require regional diversification.
In this paper we study the liberalization of the microcredit usury rate in Colombia and its effects on loan expansion. Namely, in February 2007 the interest rate ceiling for microcredit loans was lifted and fixed to 33%, while the ceiling of all other loans remained unchanged and close to 20%. We perform a Difference-inDifference analysis by comparing the expansion of microcredit loans (treatment group) with that of corporate loans (control group). Additionally, we narrow in on similar levels of both loan size and debtor's risk in order to make microcredit and corporate portfolios more comparable. Our results indicate that this policy encouraged and facilitated financial access to entrepreneurs. Specifically, we find that, on average, depending on the specification model, the amount lent by credit establishments increased between 28.2% and 49.9%, and the number of new loans increased between 27.6% and 52.6%.
We study exchange rate dependencies between seven countries from four different regions of the world. Our sample includes two developed countries, the United Kingdom and Germany (representing the Euro Area), two large emerging Asian economies, South Korea and Indonesia, two Latin American countries, Brazil and Chile, and South Africa. The currencies of all of these countries are actively traded in global forex markets and all of them are important for large international portfolio composition and rebalancing. We construct multivariate copula functions using a regular vine copula approach, allowing for very flexible dependency structures. We find evidence of exchange rate contagion for our set of countries. However, important asymmetries are worth noting. First, contagion occurs only during periods of exchange rate appreciation of the different currencies with respect to the United States Dollar. We do not find evidence of contagion for any pair of exchange rates during periods of currency depreciations. Second, contagion is more frequent in pairs of countries that include either the United Kingdom or Germany. In fact, the largest tail dependence coefficient corresponds to the pair composed by these two countries' exchange rates. Third, contagion occurs more within countries of a same region, for instance, between Brazil and Chile, and between Korea and Indonesia. This result shows that, in episodes of large currency appreciation, hedging strategies for global investors taking positions in large markets require regional diversification.
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