Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/14751
Title: THE EMBI IN LATIN AMERICA: FRACTIONAL INTEGRATION, NON-LINEARITIES AND BREAKS
Authors: Carcel, H
Gil-Alana, L
Keywords: Emerging markets;EMBI;fractional integration;non-linearities
Issue Date: 2017
Citation: Finance Research Letters, 2017
Abstract: 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.
URI: http://bura.brunel.ac.uk/handle/2438/14751
ISSN: 1544-6123
Appears in Collections:Dept of Economics and Finance Research Papers

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