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Volatility of the Capital Flows and Structural Breaks in Latin America and the Caribbean

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  • Fernando Andrés Delblanco

    (Universidad Nacional del Sur)

  • Andrés Fioriti

    (Universidad Nacional del Sur)

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    Abstract

    This paper studies the presence of structural breaks in the capital flows of sixteen economies of Latin America using the unit test root by Zivot and Andrews (1992). It is complemented by the structural breaks test by Bai Perron (1998). Afterwards, an analysis of the likelihood of contemporaneity between the breaks found and the crises the countries had suffered in the last forty years is presented. These crises were either of currency, banking, domestic and external debt type. Many cases of contemporaneity were found, especially with the crises that occurred at the end of the 90s.

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    File URL: http://economica.econo.unlp.edu.ar/documentos/20130126112922AM_Economica_580.pdf
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    Bibliographic Info

    Article provided by Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata in its journal Económica.

    Volume (Year): LVIII (2012)
    Issue (Month): (January-December)
    Pages: 23-51

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    Handle: RePEc:lap:journl:580

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    Keywords: structural breaks; volatility; capital flows; crises; contemporaneity;

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    References

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    1. Perron, Pierre, 1990. "Testing for a Unit Root in a Time Series with a Changing Mean," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 8(2), pages 153-62, April.
    2. Carmen M. Reinhart & Kenneth S. Rogoff, 2008. "This Time is Different: A Panoramic View of Eight Centuries of Financial Crises," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics 595, China Economics and Management Academy, Central University of Finance and Economics.
    3. Eric Zivot & Donald W.K. Andrews, 1990. "Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 944, Cowles Foundation for Research in Economics, Yale University.
    4. A. Sen, 2003. "Limiting behaviour of Dickey-Fuller t-tests under the crash model alternative," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 6(2), pages 421-429, December.
    5. Graciela Kaminsky & Saul Lizondo & Carmen M. Reinhart, 1998. "Leading Indicators of Currency Crises," IMF Staff Papers, Palgrave Macmillan, vol. 45(1), pages 1-48, March.
    6. Carmen M. Reinhart & Kenneth S. Rogoff, 2011. "The Forgotten History of Domestic Debt," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 121(552), pages 319-350, 05.
    7. Roberto FRENKEL, 2003. "Globalization and financial crises in Latin America," Iktisat Isletme ve Finans, Bilgesel Yayincilik, Bilgesel Yayincilik, vol. 18(207), pages 41-56.
    8. Fabian Valencia & Luc Laeven, 2008. "Systemic Banking Crises," IMF Working Papers 08/224, International Monetary Fund.
    9. BAI, Jushan & PERRON, Pierre, 1998. "Computation and Analysis of Multiple Structural-Change Models," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9807, Universite de Montreal, Departement de sciences economiques.
    10. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, Econometric Society, vol. 57(6), pages 1361-1401, November.
    11. Guillermo A. Calvo, 1998. "Capital Flows and Capital-Market Crises: The Simple Economics of Sudden Stops," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 35-54, November.
    12. Fernando Broner & Alberto Martin & Jaume Ventura, 2010. "Sovereign Risk and Secondary Markets," American Economic Review, American Economic Association, American Economic Association, vol. 100(4), pages 1523-55, September.
    13. Roberto Frenkel, 1998. "Capital Market Liberalization and Economic Performance in Latin America," SCEPA working paper series. SCEPA's main areas of research are macroeconomic policy, inequality and poverty, and globalization. 1998-06, Schwartz Center for Economic Policy Analysis (SCEPA), The New School.
    14. Frankel, Jeffrey A. & Rose, Andrew K., 1996. "Currency crashes in emerging markets: An empirical treatment," Journal of International Economics, Elsevier, Elsevier, vol. 41(3-4), pages 351-366, November.
    15. Roberto Frenkel & Martin Rapetti, 2009. "A developing country view of the current global crisis: what should not be forgotten and what should be done," Cambridge Journal of Economics, Oxford University Press, Oxford University Press, vol. 33(4), pages 685-702, July.
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