This article examines stationarity properties, linkages and market efficiency of the Latin American foreign exchange markets over the 1994-2005 period. By using daily data for fourteen countries we apply bivariate and multivariate cointegration estimations and we further account for the presence of structural breaks or changes in regime. Bivariate cointegration tests revealed that most currencies have a equilibrium relationship with the Brazilian real. Moreover, approximately between 1999 and 2001, there was a shift to a new long-run equilibrium relationship.