Dollarization and the relationship between EMBI and fundamentals in Latin American countries
This 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.
|Date of creation:||Feb 2014|
|Contact details of provider:|| Postal: Av. Diagonal 690, 08034 Barcelona|
Web page: http://www.ub.edu/riskcenter/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hernando Vargas & Andrés González & Ignacio Lozano, 2012.
"Macroeconomic Effects of Structural Fiscal Policy Changes in Colombia,"
Borradores de Economia
691, Banco de la Republica de Colombia.
- Hernando Vargas & Andrés Gonzalez & Ignacio Lozano, 2012. "Macroeconomic effects of structural fiscal policy changes in Colombia," BIS Papers chapters, in: Bank for International Settlements (ed.), Fiscal policy, public debt and monetary policy in emerging market economies, volume 67, pages 119-160 Bank for International Settlements.
- Hernando Vargas & Andrés González & Ignacio Lozano, 2012. "Macroeconomic Effects of Structural Fiscal Policy Changes in Colombia," BORRADORES DE ECONOMIA 009314, BANCO DE LA REPÚBLICA.
- Feder, Gershon & Just, Richard E., 1977. "A study of debt servicing capacity applying logit analysis," Journal of Development Economics, Elsevier, vol. 4(1), pages 25-38, February.
- Joshua Aizenman & Yothin Jinjarak & Donghyun Park, 2016.
"Fundamentals and Sovereign Risk of Emerging Markets,"
Pacific Economic Review,
Wiley Blackwell, vol. 21(2), pages 151-177, 05.
- Joshua Aizenman & Yothin Jinjarak & Donghyun Park, 2013. "Fundamentals and Sovereign Risk of Emerging Markets," NBER Working Papers 18963, National Bureau of Economic Research, Inc.
- Andrew K. Rose, 2013.
"Surprising Similarities: Recent Monetary Regimes of Small Economies,"
NBER Working Papers
19632, National Bureau of Economic Research, Inc.
- Rose, Andrew K., 2013. "Surprising similarities: recent monetary regimes of small economies," Proceedings, Federal Reserve Bank of San Francisco, issue Nov, pages 1-44.
- Rose, Andrew K., 2014. "Surprising similarities: Recent monetary regimes of small economies," Journal of International Money and Finance, Elsevier, vol. 49(PA), pages 5-27.
- Rose, Andrew K, 2013. "Surprising Similarities: Recent Monetary Regimes of Small Economies," CEPR Discussion Papers 9684, C.E.P.R. Discussion Papers.
- Ben S. Bernanke & Frederic S. Mishkin, 1997.
"Inflation Targeting: A New Framework for Monetary Policy?,"
NBER Working Papers
5893, National Bureau of Economic Research, Inc.
- Ben S. Bernanke & Frederic S. Mishkin, 1997. "Inflation Targeting: A New Framework for Monetary Policy?," Journal of Economic Perspectives, American Economic Association, vol. 11(2), pages 97-116, Spring.
- Andrea Fracasso, 2006. "The role of foreign and domestic factors in the evolution of the Brazilian EMBI spread and debt dynamics," IHEID Working Papers 22-2007, Economics Section, The Graduate Institute of International Studies, revised Jul 2007.
- Marcello Pericoli & Massimo Sbracia, 2001.
"A Primer on Financial Contagion,"
Temi di discussione (Economic working papers)
407, Bank of Italy, Economic Research and International Relations Area.
- Peter Rowland & José Luis Torres, "undated".
"Determinants of Spread and Creditworthiness for Emerging Market Sovereign Debt:A Panel Data Study,"
Borradores de Economia
295, Banco de la Republica de Colombia.
- Peter Rowland & José Luis Torres Trespalacios, 2004. "Determinants Of Spread And Creditworthiness For Emerging Market Sovereign Debt: A Panel Data Study," BORRADORES DE ECONOMIA 002337, BANCO DE LA REPÚBLICA.
- Jose MOURELLE, 2010. "Financial shocks and macroeconomic policies during the Argentine crisis of 2001-2002," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2010024, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Barry Eichengreen & Ashoka Mody, 1998. "What Explains Changing Spreads on Emerging-Market Debt: Fundamentals or Market Sentiment?," NBER Working Papers 6408, National Bureau of Economic Research, Inc.
- Suhejla Hoti & Michael McAleer, 2004. "An Empirical Assessment of Country Risk Ratings and Associated Models," Journal of Economic Surveys, Wiley Blackwell, vol. 18(4), pages 539-588, 09.
- Miguel A. Segoviano Basurto & Carlos Caceres & Vincenzo Guzzo, 2010. "Sovereign Spreads; Global Risk Aversion, Contagion or Fundamentals?," IMF Working Papers 10/120, International Monetary Fund.
- Mark Weisbrot & Luis Sandoval, 2009. "Update on the Ecuadorian Economy," CEPR Reports and Issue Briefs 2009-22, Center for Economic and Policy Research (CEPR).
When requesting a correction, please mention this item's handle: RePEc:bak:wpaper:201402. 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: (Montserrat Guillen)
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.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 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.