Artículo

Estamos trabajando para incorporar este artículo al repositorio
Consulte el artículo en la página del editor
Consulte la política de Acceso Abierto del editor

Abstract:

We present a portfolio model of financial intermediation in which currency choice is determined by hedging decisions on both sides of a bank's balance sheet. We show that minimum variance portfolio (MVP) allocations provide a natural benchmark to estimate the scope for dollarization of assets and liabilities (financial dollarization) as a function of macroeconomic uncertainty. Within this benchmark, we find that financial dollarization displays high persistence whenever the expected volatility of the inflation rate remains high in relation to that of the real exchange rate, even after price stabilization has been achieved. The empirical evidence confirms that MVP dollarization approximates financial dollarization closely for a broad sample of countries. © 2002 Elsevier Science B.V. All rights reserved.

Registro:

Documento: Artículo
Título:Financial dollarization
Autor:Ize, A.; Yeyati, E.L.
Filiación:International Monetary Fund, 700 19th St. N.W., Washington, DC 20431, United States
UTDT, Buenos Aires, Minones 2159 1428, Argentina
Palabras clave:Asset substitution; Dollarization; Financial intermediation; banking; currency market; exchange rate; inflation
Año:2003
Volumen:59
Número:2
Página de inicio:323
Página de fin:347
DOI: http://dx.doi.org/10.1016/S0022-1996(02)00017-X
Título revista:Journal of International Economics
Título revista abreviado:J. Int. Econ.
ISSN:00221996
Registro:https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_00221996_v59_n2_p323_Ize

Referencias:

  • Aghion, P., Bachetta, A., Banerjee, P., Monetary policy and currency crises in an economy with credit constraints European Economic Review ISOM Volume, , forthcoming
  • Burnside, C., Eichenbaum, M., Rebelo, S., Hedging and financial fragility in fixed exchange rate regimes European Economic Review, , forthcoming
  • Calvo, G., (1999) Fixed Versus Flexible Exchange Rates: Preliminaries of a Turn-of-Millennium Rematch, , Mimeo, University of Maryland
  • Calvo, G., (2000) Notes on Price Stickness: With Special Reference to Liability Dollarization and Credibility, , Mimeo, University of Maryland
  • Calvo, G., Reinhart, C., (1999) When Capital Flows Come to a Sudden Stop: Consequences and Policy Options, , http://www.bsos.umd.edu/econ/ciecrp.htm, Mimeo, University of Maryland available at
  • Calvo, G., Vegh, C., Currency substitution in developing countries: An introduction (1992) Revista de Análisis Económico, 7, pp. 3-28
  • Calvo, G., Vegh, C., From currency substitution to dollarization and beyond: Analytical and policy issues (1997) Essays on Money, Inflation, and Output, , Calvo, G. (Ed.), MIT Press, Cambridge, MA
  • Cespedes, L.F., Chang, R., Velasco, A., Balance sheet effects and exchange rate policy (2000) NBER Working Paper No. 7840, , Cambridge, MA
  • Choudhri, E., Hakura, D., Exchange rate pass-through to domestic prices: Does the inflationary environment matter? (2001) IMF Working Paper WP/01/94, , International Monetary Fund
  • Eichengreen, B., Haussman, R., Exchange rate and financial fragility (1999) NBER Working Paper No. 7418, , Cambridge, MA
  • Girton, L., Roper, D., Theory and implications of currency substitution (1981) Journal of Money, Credit and Banking, 13, pp. 12-30
  • Giovannini, A., Turtelboom, B., Currency substitution (1994) Handbook of International Macroeconomics, pp. 39-436. , Van der Ploeg, F. (Ed.), Blackwell Publishers, Cambridge, MA
  • Goldfajn, I., Werlang, S., (2000) The Pass-through from Depreciation to Inflation: A Panel Study, , Working Paper No 423, PUC, Rio de Janeiro
  • Guidotti, P., Rodríguez, C., Dollarization in Latin America: Gresham's law in reverse? (1992) IMF Staff Papers 39, pp. 518-544
  • Ize, A., (1981) Estabilización Y Sustitución de Activos En Un Sistema Financiero Con Dos Monedas Y Con Expectativas De Devaluación, , Documentos de Investigación del Banco de México No. 43
  • Ize, A., Yeyati, E.L., (1998) Monetary Policy in Dollarized Economies, , Occasional Paper, International Monetary Fund, Washington
  • McNelis, P., Rojas-Suárez, L., (1996) Exchange Rate Depreciation, Dollarization and Uncertainty: A Comparison of Bolivia and Peru, , Working Paper 325. Inter-American Development Bank, Washington
  • Rossini, R., (2001) Maintaining Low Inflation: Issues in the Adoption of an Inflation Targeting Regime in Peru, , Mimeo, Central Bank of Peru
  • Sahay, R., Vegh, C., Dollarization in transition economies: Evidence and policy implications (1996) The Macroeconomics of International Currencies: Theory, Policy and Evidence, pp. 192-224. , Mizen, P., Pentecost, E. (Eds.). Edward Elgar, London
  • Savastano, M.A., The pattern of currency substitution in Latin America: An overview (1992) Revista de Análisis Económico, 7, pp. 29-72
  • Savastano, M.A., Dollarization in Latin America: Recent evidence and some policy issues (1996) IMF Working Paper 96/4, , January. International Monetary Fund, Washington
  • Sturzenegger, F., Understanding the welfare implications of currency substitution (1997) Journal of Economics Dynamics and Control, pp. 391-416
  • Taylor, J., Low inflation, pass-through, and the pricing power of firms (2000) European Economic Review, 44, pp. 1389-1408
  • Thomas, L.R., Portfolio theory and currency substitution (1985) Journal of Money, Credit, and Banking, 17, pp. 347-357

Citas:

---------- APA ----------
Ize, A. & Yeyati, E.L. (2003) . Financial dollarization. Journal of International Economics, 59(2), 323-347.
http://dx.doi.org/10.1016/S0022-1996(02)00017-X
---------- CHICAGO ----------
Ize, A., Yeyati, E.L. "Financial dollarization" . Journal of International Economics 59, no. 2 (2003) : 323-347.
http://dx.doi.org/10.1016/S0022-1996(02)00017-X
---------- MLA ----------
Ize, A., Yeyati, E.L. "Financial dollarization" . Journal of International Economics, vol. 59, no. 2, 2003, pp. 323-347.
http://dx.doi.org/10.1016/S0022-1996(02)00017-X
---------- VANCOUVER ----------
Ize, A., Yeyati, E.L. Financial dollarization. J. Int. Econ. 2003;59(2):323-347.
http://dx.doi.org/10.1016/S0022-1996(02)00017-X