Financial dollarization

• 成果类型: Article
• 署名作者: Ize, A; Yeyati, EL
• 署名单位: International Monetary Fund; Universidad Torcuato Di Tella
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(02)00017-X
• 发表日期: 2003
• 页码: 323-347
• 关键词: Dollarization; financial intermediation; asset substitution

摘要

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. (C) 2002 Elsevier Science B.V. All rights reserved.