Mean and Variance Causality between Official and Parallel Currency Markets: Evidence from Four Latin American Countries
研究了1976-1993年间四个拉美国家官方与黑市外汇市场的均值和方差因果关系，发现黑市是因果关系的主要输出者。
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.