Mexico EMBI+ and its dynamic relationship with other systematic risk factors: 1997 - 2011
DOI:
https://doi.org/10.24201/ee.v28i2.81Keywords:
country risk, multivariate GARCHAbstract
The relationships among the Mexico EMBI+ and local and foreign risk factors are examined in this paper. The long run relationships and the dynamics are analyzed taking in account the effects of economic slowdowns into the period of the study. Also the volatilities of EMBI+, domestic interest rate, exchange rate and stock market are studied so as their interrelationships, considering the volatilities spillover effects and the dynamic conditional correlations. The findings have implications for investment and financing decision makers so as to the monetary policy makers.
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