IDEAS home Printed from https://ideas.repec.org/a/emx/esteco/v28y2013i2p193-216.html
   My bibliography  Save this article

EMBI+México y su relación dinámica con otros factores de riesgo sistemático: 1997-2011

Author

Listed:
  • Francisco López Herrera

    (Universidad Nacional Autónoma de México)

  • Francisco Venegas Martínez

    (Instituto Politécnico Nacional)

  • César Gurrola Ríos

    (Universidad Juárez del Estado de Durango)

Abstract

The relationships among the Mexico EMBI+ and local and foreign risk factors are examined in this paper. The long run relationships and the dynamics are analyzed taking in account the effects of economic slowdowns into the period of the study. Also the volatilities of EMBI+, domestic interest rate, exchange rate and stock market are studied so as their interrelationships, considering the volatilities spillover effects and the dynamic conditional correlations. The findings have implications for investment and financing decision makers so as to the monetary policy makers.

Suggested Citation

  • Francisco López Herrera & Francisco Venegas Martínez & César Gurrola Ríos, 2013. "EMBI+México y su relación dinámica con otros factores de riesgo sistemático: 1997-2011," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 28(2), pages 193-216.
  • Handle: RePEc:emx:esteco:v:28:y:2013:i:2:p:193-216
    as

    Download full text from publisher

    File URL: http://estudioseconomicos.colmex.mx/archivo/EstudiosEconomicos2013/193-216.pdf
    Download Restriction: no

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Guglielmo Maria Caporale & Hector Carcel & Luis A. Gil-Alana, 2015. "The EMBI in Latin America: Fractional Integration, Non-linearities and Breaks," Discussion Papers of DIW Berlin 1524, DIW Berlin, German Institute for Economic Research.

    More about this item

    Keywords

    EMBI+; country risk; multivariate GARCH;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G19 - Financial Economics - - General Financial Markets - - - Other

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:emx:esteco:v:28:y:2013:i:2:p:193-216. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rocío Contreras). General contact details of provider: http://edirc.repec.org/data/cecolmx.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.