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Dollarization and the relationship between EMBI and fundamentals Latin American countries

Author

Listed:
  • María Lorena Mari del Cristo

    (Department of Economic Theory, Universitat de Barcelona)

  • Marta Gómez-Puig

    (Department of Economic Theory, Universitat de Barcelona and RFA-IREA)

Abstract

This paper presents empirical evidence on the interrelationship that exists between the evolution of the Emerging Markets Bonds Index (EMBI) and some macroeconomic variables in seven Latin American countries; two of them (Ecuador and Panama), full dollarized. We make use of a Cointegrated Vector framework to analyze the short run effects from 2001 to 2009. The results suggest that EMBI is more stable in dollarized countries and that its evolution influences economic activity in non-dollarized economies; suggesting that investors confidence might be higher in dollarized countries where real and financial economic evolution are less tied than in non-dollarized ones.

Suggested Citation

  • María Lorena Mari del Cristo & Marta Gómez-Puig, 2014. "Dollarization and the relationship between EMBI and fundamentals Latin American countries," Working Papers 14-05, Asociación Española de Economía y Finanzas Internacionales.
    • Handle: RePEc:aee:wpaper:1405
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    Cited by:

    1. Caporale, Guglielmo Maria & Carcel, Hector & Gil-Alana, Luis, 2018. "The EMBI in Latin America: Fractional integration, non-linearities and breaks," Finance Research Letters, Elsevier, vol. 24(C), pages 34-41.
    2. Estefanía Alaminos & Mercedes Ayuso, 2015. "Methodological Approach of a Multiple State Actuarial Model for the Married - Widower case for the assessment of retirement and widowhood pensions," Working Papers 2015-04, Universitat de Barcelona, UB Riskcenter.
    3. Esteban Serrano-Monge, 2022. "Inferences from Portfolio Theory and Efficient Market Hypothesis to the Impact of Social Media on Sovereign Debt: Colombia, Ecuador, and Peru," JRFM, MDPI, vol. 15(4), pages 1-16, March.

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    More about this item

    Keywords

    Dollarization; emerging markets; Latin American countries; Cointegrated VAR; EMBI; exchange rate regime;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F30 - International Economics - - International Finance - - - General

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