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

María Lorena Mari del Cristo and Marta Gómez-Puig ()
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María Lorena Mari del Cristo: Department of Economics, Universitat de Barcelona

Cuadernos de Economía - Spanish Journal of Economics and Finance, 2017, vol. 40, issue 112, 14-30

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 vulnerable to external shocks than in non-dollarized ones.

Keywords: Dollarization; Emerging markets; Latin American countries; Cointegrated VAR; Emerging Markets Bond Index; Exchange rate regime (search for similar items in EconPapers)
JEL-codes: C32 E44 F30 (search for similar items in EconPapers)
Date: 2017
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Related works:
Working Paper: Dollarization and the relationship between EMBI and fundamentals Latin American countries (2014) Downloads
Working Paper: Dollarization and the relationship between EMBI and fundamentals in Latin American countries (2014) Downloads
Working Paper: Dollarization and the Relationship Between EMBI and Fundamentals Latin American Countries (2014) Downloads
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