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dc.contributor.authorCastro, Juan Francisco
dc.contributor.authorMorón, Eduardo
dc.date.accessioned2014-06-30T23:15:07Z
dc.date.accessioned2022-09-22T13:59:01Z
dc.date.available2014-06-30T23:15:07Z
dc.date.available2022-09-22T13:59:01Z
dc.date.issued2005-07
dc.identifier.citationCastro, J., & Morón, E. (2005). Financial dollarization and the size of the fear. Lima: Universidad del Pacífico, Centro de Investigación. Recuperado de http://hdl.handle.net/11354/283es_PE
dc.identifier.urihttps://hdl.handle.net/20.500.12032/54057
dc.description.abstractBased 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.en
dc.formatapplication/pdfes_PE
dc.language.isoenges_PE
dc.publisherUniversidad del Pacífico. Centro de Investigaciónes_PE
dc.relation.ispartofseriesDocumento de discusión;n° DD/05/03
dc.rightsinfo:eu-repo/semantics/openAccesses_PE
dc.rightsAtribución-NoComercial-SinDerivadas 4.0 Internacional*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/deed.es*
dc.sourceRepositorio de la Universidad del Pacífico - UPes_PE
dc.sourceUniversidad del Pacíficoes_PE
dc.subjectDolarizaciónes_PE
dc.subjectPolítica monetariaes_PE
dc.titleFinancial dollarization and the size of the feares_PE
dc.typeinfo:eu-repo/semantics/workingPaperes_PE


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