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

Cristo, María Lorena Marí del; Gómez‐Puig, Marta

doi:10.1016/j.cesjef.2016.10.002

Cited by 7 publications

(2 citation statements)

References 23 publications

(50 reference statements)

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The macroeconomic fundamentals are the bedrock upon which sovereign risk assessments are built and determine the ability of a country to adjust to negative shocks (Aizenman, Jinjarak and Park, 2016). Robust economic growth, low inflation rates, debt-to-GDP ratio reduction, and a sustainable fiscal sector and policies together form a picture of an economy's strength, its government's capacity to service debt, and the performance of sovereign spreads (Nogués and Grandes, 2001;del Cristo and Gómez-Puig, 2017;Edwards, 1986). For example, Baldacci, Gupta and Mati (2011) find that the composition of fiscal policy matters, as higher public investment can lower sovereign spreads, as long as the government's financial situation is sustainable and does not show a deficit.…”

Section: Political and Macroeconomic Fundamentalsmentioning

confidence: 99%

Emerging Markets Bond Index Performance and Sovereign Default: The Case of Ecuador

Zanoni,

Díaz,

Paredes

et al. 2024

View full text Add to dashboard Cite

This paper delves into the dynamic impact of Ecuador's 2008 sovereign debt default on the subsequent performance of the country's bonds, specifically as measured by the Emerging Markets Bond Index (EMBI). Through a blend of qualitative and quantitative analyses, the paper develops a framework for understanding the interplay between macroeconomic and political fundamentals, global liquidity dynamics, and investor behaviors. Employing a synthetic control method, the study assesses the default's impact on Ecuadors EMBI performance, revealing a dynamically heterogeneous influence that fluctuates with evolving macroeconomic and political landscapes. The findings highlight the importance of considering a broad spectrum of economic variables in sovereign risk assessment, especially for economies with significant exposure to volatile commodity markets. The study offers insights into the complex dynamics governing sovereign bond markets post default, emphasizing the roles of fiscal discipline, investor communication, and political stability in mitigating sovereign risk.

show abstract

Section: Political and Macroeconomic Fundamentalsmentioning

confidence: 99%

Emerging Markets Bond Index Performance and Sovereign Default: The Case of Ecuador

Zanoni,

Díaz,

Paredes

et al. 2024

View full text Add to dashboard Cite

show abstract

“…As classified by Mari Del Cristo and Gómez-Puig (2017), research attempting to identify the causes of country risk fall under three categories. In the first category, macroeconomic and political variables act as determinants of country risk, the second category emphasizes exogenous factors (such as market or investor sentiment, contagion effects, capital flows) as determinants, and the third and final group emphasize exchange rate regime as a determinant of country risk.…”

Section: Introductionmentioning

confidence: 99%

Inferences from Portfolio Theory and Efficient Market Hypothesis to the Impact of Social Media on Sovereign Debt: Colombia, Ecuador, and Peru

Serrano-Monge

2022

JRFM

View full text Add to dashboard Cite

For three countries of similar economic characteristics, I ratify previous studies of the impact of fundamental macroeconomic and foreign exchange variables influencing country risk, as captured by the Emerging Market Bond Index (EMBI). I contribute to existing research, first by calculating a proxy of risk I call endogenous risk that analyzes the quarterly variability of economic activity, and second, by calculating a variable of sentiment from Twitter activity. I gauge the impact of both on the country risk metric in addition to variables in existing research about the determinants of country risk. Foreign exchange variables are the most significant determinants of risk for the countries of Colombia and Peru, which actively manage their currency, while Ecuador’s country risk is mostly affected by endogenous risk and macroeconomic fundamentals.

show abstract

Assessing the risk of foreign investment within the petroleum sector of South America

2022

View full text Add to dashboard Cite

There is presently a shortage of international oil companies investing in South America, due primarily to political instability associated with high levels of corruption, poor quality of institutions, and demanding fiscal regimes that strip significant amounts of revenue from investors. The purpose of this research is to obtain a comprehensive country ranking for South America in terms of investment risk in the upstream oil sector. The study identifies six risk categories (political risk, macroeconomic risk, technical risk, investment climate, non-renewable energy resources potential, and environmental constraint) and ten sub-indicators associated with these risks. The data are gathered to perform an ‘analytic hierarchy process (AHP)’ to obtain the weight index of the ten sub-indicators. These are then used in a ‘technique for order preference by similarity to ideal solution (TOPSIS)’ to obtain the country-ranking risk arrangement. Results indicate that countries with low-risk investment include Brazil, Colombia and Peru, while high-risk countries include Argentina, Ecuador and Bolivia. Finally, this study suggests that countries whose proportions of government take exceed 75% should modify their fiscal regimes to optimize benefits for all parties or design fiscal systems where the host government and contractor share the risk and reward associated with exploiting oil resources.

show abstract

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

Cited by 7 publications

References 23 publications

Emerging Markets Bond Index Performance and Sovereign Default: The Case of Ecuador

Emerging Markets Bond Index Performance and Sovereign Default: The Case of Ecuador

Inferences from Portfolio Theory and Efficient Market Hypothesis to the Impact of Social Media on Sovereign Debt: Colombia, Ecuador, and Peru

Assessing the risk of foreign investment within the petroleum sector of South America

Contact Info

Product

Resources

About