Red de Bibliotecas Virtuales de Ciencias Sociales en
América Latina y el Caribe
Por favor, use este identificador para citar o enlazar este ítem:
https://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/51982Registro completo de metadatos
| Campo DC | Valor | Lengua/Idioma |
|---|---|---|
| dc.creator | Castro, Juan Francisco | - |
| dc.creator | Morón, Eduardo | - |
| dc.date | 2005-07 | - |
| dc.date.accessioned | 2022-03-17T18:39:50Z | - |
| dc.date.available | 2022-03-17T18:39:50Z | - |
| dc.identifier | http://hdl.handle.net/11354/283 | - |
| dc.identifier.uri | http://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/51982 | - |
| dc.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. | - |
| dc.format | application/pdf | - |
| dc.format | application/pdf | - |
| dc.language | eng | - |
| dc.publisher | Universidad del Pacífico. Centro de Investigación | - |
| dc.rights | info:eu-repo/semantics/openAccess | - |
| dc.rights | Atribución-NoComercial-SinDerivadas 4.0 Internacional | - |
| dc.source | Repositorio de la Universidad del Pacífico - UP | - |
| dc.source | Universidad del Pacífico | - |
| dc.subject | Dolarización | - |
| dc.subject | Política monetaria | - |
| dc.title | Financial dollarization and the size of the fear | - |
| dc.type | info:eu-repo/semantics/workingPaper | - |
| Aparece en las colecciones: | Centro de Investigación - UP - CIUP - Cosecha | |
Ficheros en este ítem:
No hay ficheros asociados a este ítem.
Los ítems de DSpace están protegidos por copyright, con todos los derechos reservados, a menos que se indique lo contrario.