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Author

Luis Fernando Melo-Velandia

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Sep 2026

Analysing Exchange Rate Dynamics Within the Global Financial Cycle: A DCC ‐Copula Approach

Exchange rate comovements intensify during episodes of global financial stress, with consequences for portfolio diversification, contagion risk and macroprudential policy. This paper studies how the Global Financial Cycle (GFC)—the joint movements in global risk appetite, capital flows and asset prices—shapes the tim...

Luis Fernando Melo-Velandia, José Vicente Romero, Diego Niño-Garavito · 0 citations

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