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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
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    File URL: https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/81/83
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    Citations

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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.

    More about this item

    Keywords

    EMBI+; country risk; multivariate GARCH;
    All these keywords.

    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

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