Arbeitspapier
The EMBI in Latin America: Fractional Integration, Non-Linearities and Breaks
This paper analyses the main statistical properties of the Emerging Market Bond Index (EMBI), namely long-range dependence or persistence, non-linearities, and structural breaks, in four Latin American countries (Argentina, Brazil, Mexico, Venezuela). For this purpose it uses a fractional integration framework and both parametric and semi-parametric methods. The evidence based on the former is sensitive to the specification for the error terms, whilst the results from the latter are more conclusive in ruling out mean reversion. Further, non-linearities do not appear to be present. Both recursive and rolling window methods identify a number of breaks. Overall, the evidence of long-range dependence as well as breaks suggests that active policies might be necessary for achieving financial and economic stability in these countries.
- Sprache
-
Englisch
- Erschienen in
-
Series: CESifo Working Paper ; No. 5630
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Asset Pricing; Trading Volume; Bond Interest Rates
Economic Impacts of Globalization: Economic Development
- Thema
-
emerging markets
EMBI
fractional integration
non-linearities
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Caporale, Guglielmo-Maria
Carcel, Hector
Gil-Alana, Luis A.
- Ereignis
-
Veröffentlichung
- (wer)
-
Center for Economic Studies and ifo Institute (CESifo)
- (wo)
-
Munich
- (wann)
-
2015
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Caporale, Guglielmo-Maria
- Carcel, Hector
- Gil-Alana, Luis A.
- Center for Economic Studies and ifo Institute (CESifo)
Entstanden
- 2015
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