Browsing by Autor "Eduardo Antelo Callisperis"

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Dollarization in Bolivia: Recent Trends and Future Perspectives
(RELX Group (Netherlands), 1996) Eduardo Antelo Callisperis
In Latin America, during the last 3 decades, various countries experienced gradual processes of dollarization. In the case of Bolivia, the preference of Bolivian agents for dollar denominated financial assets is attributed, generally, to the hyperinflation experienced during 1984-1985, and to the lack of confidence on the stabilization program introduced in 1985. The paper presents evidences that the increased dollarization of the financial system in Bolivia, during a period of relative economic stability (1986-1995), is due to the prevailing structure of interest rates, that incentives deposits in dollars. Initially, the document examines empirical evidences, utilizing unit root tests, which leads to accept the assumption that the dollarization in Bolivia is a transitory process. The results also show that the interest rate differential between the local currency deposits and dollar deposits causes, in the Granger sense, the evolution of financial sector dollarization degree. The interest rate differential elasticity of the dollarization process, utilizing ex ante returns, is substantially higher than those found in previous works and is statistically significant. Finally, the paper finds evidences that political transition, which minimize the uncertainty about the direction of the macroeconomic policies, helps to revert the dollarization process.
Estimating Risk Premia in the Bolivian Financial Market: Garch Models
(RELX Group (Netherlands), 1996) Eduardo Antelo Callisperis
In an uncertain economic environment, risk averse investors demand risk premiums, to hold in their portfolio, assets subject to this uncertainty. This paper investigates if a conditional variance, a measure of total risk, is a significant determinant of the risk premium of the Bolivian financial assets, using ARCH (Autoregressive Conditional Heterocedastic) models. The ARCH models explicitly model time varying conditional variances by relating them to variables known from previous periods. The paper also tests the CAPM (Capital Asset Pricing Model), which provides a theory for the pricing of assets with uncertain returns using GARCH (Generalized Autoregressive Conditional Heterocedastic) models. This essentially assumes that agents update their estimates of the means, variances and/or covariances of returns each period, using the newly revealed surprises in the last period's asset returns. In this context, a GARCH process is estimated to the Bolivian financial market, where the expected return of each asset is proportional to the conditional covariance of each return with that of a market portfolio.