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Dolarización financiera, el enfoque de portafolio y expectativas: Evidencia para América Latina (1995-2005)

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  • Sánchez, Alan

Abstract

El objetivo de este trabajo es evaluar en qué medida la dolarización financiera en América Latina puede ser explicada por el enfoque de portafolio de varianza mínima (PVM) propuesto por Ize y Levi Yeyati (2003). En tanto el proceso de optimización de portafolio es sensible a los supuestos considerados para la construcción de la matriz de varianzas y covarianzas, se utilizan diversas alternativas para estimar la volatilidad esperada a partir de datos históricos y se analiza qué ocurre cuando se le da un menor peso a las observaciones más distantes en el tiempo (pasando de memoria larga a memoria corta). El principal hallazgo es que, si se distingue entre países altamente dolarizados (AD) y el resto de países de América Latina, el PVM explica hasta un tercio de los cambios en el segundo grupo si se asume memoria larga, mientras que para países AD (por ejemplo, Perú y Bolivia) la capacidad explicativa del PVM, aunque también asociada a memoria larga, es mínima. En particular, una reducción en la volatilidad relativa no causa cambios en la dolarización observada de países AD. Estos resultados sugieren que las consideraciones de portafolio, aunque presentes, son menos importantes para economías AD, y muestran la relevancia de la historia pasada para explicar la persistencia de la dolarización.

Suggested Citation

  • Sánchez, Alan, 2007. "Dolarización financiera, el enfoque de portafolio y expectativas: Evidencia para América Latina (1995-2005)," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 14, pages 107-130.
  • Handle: RePEc:rbp:esteco:ree-14-04
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    References listed on IDEAS

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    1. Guillermo A. Calvo & Carmen M. Reinhart, 2002. "Fear of Floating," The Quarterly Journal of Economics, Oxford University Press, vol. 117(2), pages 379-408.
    2. Arturo Galindo & Leonardo Leiderman, 2005. "Living with Dollarization and the Route to Dedollarization," Research Department Publications 4397, Inter-American Development Bank, Research Department.
    3. Robert Rennhack & Masahiro Nozaki, 2006. "Financial Dollarization in Latin America," IMF Working Papers 06/7, International Monetary Fund.
    4. Ize, Alain & Yeyati, Eduardo Levy, 2003. "Financial dollarization," Journal of International Economics, Elsevier, vol. 59(2), pages 323-347, March.
    5. Gianni De Nicolo & Patrick Honohan & Alain Ize, 2003. "Dollarization of the Banking System; Good or Bad?," IMF Working Papers 03/146, International Monetary Fund.
    6. Mark Zelmer & Andrea Schaechter & Mark R. Stone & Alina Carare, 2002. "Establishing Initial Conditions in Support of Inflation Targeting," IMF Working Papers 02/102, International Monetary Fund.
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