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Dollarization and the relationship between EMBI and fundamentals in Latin American countries

Author

Listed:
  • Lorena Mari del Cristo

    () (Department of Economic Theory, Universitat de Barcelona)

  • Marta Gómez-Puig

    () (Department of Economic Theory, Riskcenter-IREA, Universitat de Barcelona)

Abstract

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.

Suggested Citation

  • Lorena Mari del Cristo & Marta Gómez-Puig, 2014. "Dollarization and the relationship between EMBI and fundamentals in Latin American countries," Working Papers 2014-02, Universitat de Barcelona, UB Riskcenter.
  • Handle: RePEc:bak:wpaper:201402
    as

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    File URL: http://www.ub.edu/rfa/research/WP/UBriskcenterWP201402.pdf
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    References listed on IDEAS

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    2. 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.
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    Cited by:

    1. repec:eee:finlet:v:24:y:2018:i:c:p:34-41 is not listed on IDEAS
    2. Estefanía Alaminos & Mercedes Ayuso, 2015. "Methodological Approach of a Multiple State Actuarial Model for the Married - Widower case for the assessment of retirement and widowhood pensions," Working Papers 2015-04, Universitat de Barcelona, UB Riskcenter.

    More about this item

    Keywords

    Dollarization; emerging markets; Latin American countries; Cointegrated VAR; EMBI; exchange rate regime;

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