This paper analyses the main statistical properties of the Emerging Market Bond Index (EMBI), namely long-range dependence or persistence, non-linearities, and structural breaks, in four Latin American countries (Argentina, Brazil, Mexico, Venezuela). For
this purpose it uses a fractional integration framework and both parametric and semiparametric methods. The evidence based on the former is sensitive to the specification
for the error terms, whilst the results from the latter are more conclusive in ruling out
mean reversion. Further, non-linearities do not appear to be present. Both recursive and
rolling window methods identify a number of breaks. Overall, the evidence of long-range
dependence as well as breaks suggests that active policies might be necessary for achieving financial and economic stability in these countrie