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


  • Rolando Manuel Gonzáles Martínez


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.

Suggested Citation

  • Rolando Manuel Gonzáles Martínez, 2011. "Riesgo macroeconómico y bolivianización: Un análisis de cointegración con un portafolio dinámico no estacionario de mínima varianza," Revista de Análisis del BCB, Banco Central de Bolivia, vol. 15(2), pages 9-44, December.
  • Handle: RePEc:blv:journl:v:15:y:2011:i:2:p:9-44

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    References listed on IDEAS

    1. Hairault, Jean-Olivier & Patureau, Lise & Sopraseuth, Thepthida, 2004. "Overshooting and the exchange rate disconnect puzzle: a reappraisal," Journal of International Money and Finance, Elsevier, vol. 23(4), pages 615-643, June.
    2. Eichenbaum, Martin, 1997. "Some Thoughts on Practical Stabilization Policy," American Economic Review, American Economic Association, vol. 87(2), pages 236-239, May.
    3. Kollmann, Robert, 2002. "Monetary policy rules in the open economy: effects on welfare and business cycles," Journal of Monetary Economics, Elsevier, vol. 49(5), pages 989-1015, July.
    4. Ghironi, Fabio, 2006. "Macroeconomic interdependence under incomplete markets," Journal of International Economics, Elsevier, vol. 70(2), pages 428-450, December.
    5. Karamé, Frédéric & Patureau, Lise & Sopraseuth, Thepthida, 2008. "Limited participation and exchange rate dynamics: Does theory meet the data?," Journal of Economic Dynamics and Control, Elsevier, vol. 32(4), pages 1041-1087, April.
    6. Lucas, Robert Jr., 1990. "Liquidity and interest rates," Journal of Economic Theory, Elsevier, vol. 50(2), pages 237-264, April.
    7. Fuerst, Timothy S., 1992. "Liquidity, loanable funds, and real activity," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 3-24, February.
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    More about this item


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

    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
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General


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