Riesgo de insolvencia, dolarización y sustitución de divisas en México

Empirical evidence of currency substitution as measured by dollarization in Latin America usually accords with theoretical explanations (Calvo and Végh, 1992, and Giovannini and Turtelboom, 1993). But some studies find anomalies. For example, Rogers (1992a and 1992b) finds that between 1978 and 1982, relative holdings of Mexdollars were negatively related to expected devaluation. He explains this phenomenon as being caused by “convertibility risk”; the convertibility or rate of return depends upon the level of reserves in the Mexican banking system. We investigate the often cited (Calvo and Végh, 1992) but rarely tested link between dollarization, currency substitution, and bank solvency. In the Mexican case, we estimate demand equations for real peso and Mexdollar deposit demand. We find that measures of demand for Mexdollar deposits are negatively and significantly related to the share of bank loans that are overdue. As is consistent with hypotheses developed in this paper, the same cannot be said for measures of demand for peso-denominated deposits.