“Dollarization and the Relationship Between EMBI and Fundamentals Latin American Countries”
AbstractThis 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.
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Bibliographic InfoPaper provided by University of Barcelona, Research Institute of Applied Economics in its series IREA Working Papers with number 201406.
Length: 38 pages
Date of creation: Mar 2014
Date of revision: Mar 2014
Dollarization; emerging markets; Latin American countries; Cointegrated VAR; EMBI; exchange rate regime. JEL classification: C32; E44; F30;
Other versions of this item:
- MarÃa Lorena Mari del Cristo & Marta GÃ³mez-Puig, 2014. "Dollarization and the relationship between embi and fundamentals latin american countries," Working Papers 14-05, Asociación Española de Economía y Finanzas Internacionales.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- F30 - International Economics - - International Finance - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2014-03-15 (All new papers)
- NEP-LAM-2014-03-15 (Central & South America)
- NEP-MAC-2014-03-15 (Macroeconomics)
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