Financial dollarization and the size of the fear

Based on the significance of a Minimum Variance Portfolio (MVP) for the understanding of dollarization equilibria, a significant strand of the debate concerned with the driving forces behind this phenomenon has focused on analyzing the determinants of the relative volatility of inflation vis-à-vis r...

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Detalles Bibliográficos
Autores principales: Castro, Juan Francisco, Morón, Eduardo
Formato: Libro
Lenguaje:Inglés
Publicado: 2014
Materias:
Dolarización
Política monetaria
Acceso en línea:http://hdl.handle.net/11354/283
http://biblioteca.clacso.edu.ar/gsdl/cgi-bin/library.cgi?a=d&c=pe/pe-014&d=11354283oai
Aporte de:
Red de Bibliotecas Virtuales de Ciencias Sociales (CLACSO) de Consejo Latinoamericano de Ciencias Sociales
id I16-R122-11354283oai
record_format dspace
institution Consejo Latinoamericano de Ciencias Sociales
institution_str I-16
repository_str R-122
collection Red de Bibliotecas Virtuales de Ciencias Sociales (CLACSO)
language Inglés
topic Dolarización
Política monetaria
spellingShingle Dolarización
Política monetaria
Castro, Juan Francisco
Morón, Eduardo
Financial dollarization and the size of the fear
topic_facet Dolarización
Política monetaria
description Based on the significance of a Minimum Variance Portfolio (MVP) for the understanding of dollarization equilibria, a significant strand of the debate concerned with the driving forces behind this phenomenon has focused on analyzing the determinants of the relative volatility of inflation vis-à-vis real depreciation. This analysis contributes in the identification of those factors by extending the basic CAPM formulation via the introduction of credit risk that is directly linked to the shock that determines real returns for dollar denominated assets: unanticipated shifts in the real exchange rate. We show this ingredient can end up altering the perceived relative volatility of peso and dollar assets in a way that fuels financial dollarization (by increasing the relative hedging opportunities offered by the latter). We calibrate our model using Peruvian data for the period 1998-2004, and its predictions show a better fit with observed financial dollarization ratios than those of the basic CAPM model.
format Libro
Libro
author Castro, Juan Francisco
Morón, Eduardo
author_facet Castro, Juan Francisco
Morón, Eduardo
author_sort Castro, Juan Francisco
title Financial dollarization and the size of the fear
title_short Financial dollarization and the size of the fear
title_full Financial dollarization and the size of the fear
title_fullStr Financial dollarization and the size of the fear
title_full_unstemmed Financial dollarization and the size of the fear
title_sort financial dollarization and the size of the fear
publishDate 2014
url http://hdl.handle.net/11354/283
http://biblioteca.clacso.edu.ar/gsdl/cgi-bin/library.cgi?a=d&c=pe/pe-014&d=11354283oai
work_keys_str_mv AT castrojuanfrancisco financialdollarizationandthesizeofthefear
AT moroneduardo financialdollarizationandthesizeofthefear
bdutipo_str Repositorios
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