During 2002 the Uruguayan economy endured a run of bank deposits
\nwhich reduced the stock at the beginning of the year by almost half, and a public debt crisis
\nwhich resulted in a country risk growth of 200 basis points to more than 2,000 a
\nend of the year From a review of the literature on the relationship between crises
\nBanking and sovereign debt, this paper investigates, on daily data
\nfor the year 2002, the causality between the aforementioned variables. At work you
\nconcludes that there is a two-way causality in the sense of Granger among
\ndeposits and the Uruguayan country risk.
\nOn the other hand, the international rating agencies made successive downgrades
\nof the Uruguayan sovereign debt in 2002. The work also analyzes the extent to which
\nthese episodes affected the price of public securities and deposit withdrawals
\nin the banking system. For these purposes, different explanatory models of
\nthe objective variables and anomalous values \u200b\u200bare investigated, relating them to
\nepisodes mentioned above. The results are robust with respect to the different
\nmodeling strategies and indicate that only the actions of one of the
\nrating agencies influence the price of Uruguayan debt securities (in the
\ndaily evolution), and that only has a marginal effect on non-resident deposits
\nin foreign currency. In addition certain events are located in 2002 that
\nthey had an important impact on both country risk and deposits
\n(residents, non-residents and total).<\/p>\n