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Riesgo macroeconómico y bolivianización: Un análisis de cointegración con un portafolio dinámico no estacionario de mínima varianza

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  • Rolando Manuel Gonzáles Martínez

Abstract

Esta investigación analiza la relación entre la bolivianización financiera y el riesgo macroeconómico en Bolivia. El estudio (i) extiende el modelo teórico de Ize y Levy-Yeyati (2003), con una especificación de heteroscedasticidad condicional para calcular un portafolio dinámico no estacionario de mínima varianza como proxy del riesgo macroeconómico, y (ii) contrasta la cointegración entre este portafolio y la bolivianización. Los resultados indican que el riesgo macroeconómico sería un determinante de largo plazo del proceso de bolivianización; en consecuencia, políticas que controlen la percepción de riesgo, afectando las volatilidades de la inflación y del tipo de cambio real, podrían profundizar la desdolarización del sistema financiero y consolidar el uso de la moneda local en Bolivia.

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Bibliographic Info

Article provided by Banco Central de Bolivia in its journal Revista de Análisis.

Volume (Year): 15 (2011)
Issue (Month): 2 (December)
Pages: 9-44

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Handle: RePEc:blv:journl:v:15:y:2011:i:2:p:9-44

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Related research

Keywords: Cointegración; heteroscedasticidad condicional multivariante; bolivianización (desdolarización) financiera;

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