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Quiebre estructural de la relación entre la política fiscal y el riesgo soberano en las economías emergentes: el caso colombiano

  • Juan Manuel Julio

    ()

  • Ignacio Lozano

    ()

  • Ligia Alba Melo

    ()

En este trabajo se muestra que el EMBI-Colombia está determinado por el apetito por riesgo de los inversionistas internacionales y que su respuesta es no lineal y está influenciada por la postura fiscal del gobierno. Se encuentra también que la relación entre estas variables sufrió un cambio estructural favorable en la mitad de la década del 2000, que parece estar asociado a los mejores fundamentales macroeconómicos locales y al deterioro del entorno internacional. Finalmente, se concluye que el riesgo soberano mantiene una relación unidireccional con la devaluación nominal y la valorización anual del IGBC, sugiriendo que el EMBI aporta la información básica para valorar las perspectivas de los mercados financieros locales.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 693.

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Length: 35
Date of creation: Feb 2012
Date of revision:
Handle: RePEc:bdr:borrec:693
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  1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  2. Olivier Blanchard, 2004. "Fiscal Dominance and Inflation Targeting: Lessons from Brazil," NBER Working Papers 10389, National Bureau of Economic Research, Inc.
  3. Alejandro Izquierdo & Randall Romero & Ernesto Talvi, 2008. "Booms and Busts in Latin America: The Role of External Factors," Research Department Publications 4569, Inter-American Development Bank, Research Department.
  4. Thomas J. Sargent & Neil Wallace, 1981. "Some unpleasant monetarist arithmetic," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall.
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