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Volatility of the Capital Flows and Structural Breaks in Latin America and the Caribbean

Author

Listed:
  • Fernando Andrés Delblanco

    (Universidad Nacional del Sur)

  • Andrés Fioriti

    (Universidad Nacional del Sur)

Abstract

This paper studies the presence of structural breaks in the capital flows of sixteen economies of Latin America using the unit test root by Zivot and Andrews (1992). It is complemented by the structural breaks test by Bai Perron (1998). Afterwards, an analysis of the likelihood of contemporaneity between the breaks found and the crises the countries had suffered in the last forty years is presented. These crises were either of currency, banking, domestic and external debt type. Many cases of contemporaneity were found, especially with the crises that occurred at the end of the 90s.

Suggested Citation

  • Fernando Andrés Delblanco & Andrés Fioriti, 2012. "Volatility of the Capital Flows and Structural Breaks in Latin America and the Caribbean," Económica, Instituto de Investigaciones Económicas, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, vol. 0, pages 23-51, January-D.
    • Handle: RePEc:akh:journl:581
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    File URL: https://revistas.unlp.edu.ar/Economica/article/view/5357/4388
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    More about this item

    Keywords

    structural breaks; volatility; capital flows; crises; contemporaneity;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G01 - Financial Economics - - General - - - Financial Crises
    • N26 - Economic History - - Financial Markets and Institutions - - - Latin America; Caribbean

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