Document Type



This item is available under a Creative Commons License for non-commercial use only


Business and Management.

Publication Details

In Cuadernos de Economica, Latin American Journal of Economics, Vol.45 (November), pp.185-215, 2008.


This paper investigates the nature of volatility spillovers between stock returns and a number of exchange rates in six Latin American countries and one European economy in the 1998-2006 period. We divide our sample into sub periods, prior to and after the introduction of the Euro and we apply the EGARCH methodology to model volatility. Our results show that the volatility of stock returns affects the volatility of exchange rates; however, we do not find evidence of volatility transmission in the opposite direction.