EMBI+México y su relación dinámica con otros factores de riesgo sistemático: 1997-2011

Francisco López-Herrera (), Francisco Venegas Martínez and César Gurrola Ríos
Additional contact information
Francisco Venegas Martínez: Instituto Politécnico Nacional
César Gurrola Ríos: Universidad Juárez del Estado de Durango
Authors registered in the RePEc Author Service: Francisco Venegas-Martínez

Estudios Económicos, 2013, vol. 28, issue 2, 193-216

Abstract: The relationships among the Mexico EMBI+ and local and foreign risk factors are examined in this paper. The long run relationships and the dynamics are analyzed taking in account the effects of economic slowdowns into the period of the study. Also the volatilities of EMBI+, domestic interest rate, exchange rate and stock market are studied so as their interrelationships, considering the volatilities spillover effects and the dynamic conditional correlations. The findings have implications for investment and financing decision makers so as to the monetary policy makers.

Keywords: EMBI+; country risk; multivariate GARCH (search for similar items in EconPapers)
JEL-codes: F31 F34 F36 F65 G10 G12 G15 G19 (search for similar items in EconPapers)
Date: 2013
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/81/83 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:emx:esteco:v:28:y:2013:i:2:p:193-216

Access Statistics for this article

More articles in Estudios Económicos from El Colegio de México, Centro de Estudios Económicos Contact information at EDIRC.
Bibliographic data for series maintained by Ximena Varela ().