What are the Main Variables that Influence the Dynamics of Ecuador's Sovereign Risk?

• Tác giả: Paul Carrillo-Maldonado
• Ngôn ngữ: eng
• Ký hiệu phân loại: 986.6 *Ecuador
• Thông tin xuất bản: Taylor & Francis, 2024
• Bộ sưu tập: Tài liệu truy cập mở
• ID: 306862
• Chủ đề: 1. BLOCKED SVAR; 2. EMBI; 3. INTERNATIONAL MARKET; 4. SPILLOVER EFFECT

Tóm tắt

This paper analyzes the determinants of Ecuador's sovereign spreads as measured by the EMBI index. We use Bayesian algorithms to estimate a structural vector autoregressive model with three blocks (international, regional, and domestic). Global variables drive most of the dynamics of the Ecuadorian EMBI, also influenced by the evolution of sovereign risks in other Latin American countries like Chile and Peru. We likewise show that the increase in public debt is the primary domestic variable affecting the Ecuadorian EMBI.