The Determinants of Sovereign Bond Spreads: Theory and Facts from Latin America

The Determinants of Sovereign Bond Spreads: Theory and Facts from Latin America

This paper aims to identify the macroeconomic determinants of sovereign bond spreads in Argentina, Brazil and Mexico and discusses the economic policies underlying the divergent fortunes experienced by these countries over 1993-2001. Those determinants, namely real GDP growth, gross capital inflows...

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Autor principal: GRANDES,MARTÍN
Lenguaje:English
Publicado: Instituto de Economía, Pontificia Universidad Católica de Chile 2007
Materias:
Sovereign Debt
Default Risk
Contagion
Latin America
Emerging Markets
Acceso en línea:http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0717-68212007000200002
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spelling oai:scielo:S0717-682120070002000022007-12-27The Determinants of Sovereign Bond Spreads: Theory and Facts from Latin AmericaGRANDES,MARTÍN Sovereign Debt Default Risk Contagion Latin America Emerging Markets This paper aims to identify the macroeconomic determinants of sovereign bond spreads in Argentina, Brazil and Mexico and discusses the economic policies underlying the divergent fortunes experienced by these countries over 1993-2001. Those determinants, namely real GDP growth, gross capital inflows and debt service burden (as a percentage of GDP), are derived from a consistent theoretical framework and empirically tested. The econometric analysis suggests that a permanent change in these determinants has a more significant and robust impact on spreads than transitory shocks. It also points out that financial contagion or risk-aversion variables have a meaningful role in explaining sovereign spreads across Latin American countriesinfo:eu-repo/semantics/openAccessInstituto de Economía, Pontificia Universidad Católica de ChileCuadernos de economía v.44 n.130 20072007-11-01text/htmlhttp://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0717-68212007000200002en10.4067/S0717-68212007000200002
institution Scielo Chile
collection Scielo Chile
language English
topic Sovereign Debt
Default Risk
Contagion
Latin America
Emerging Markets
spellingShingle Sovereign Debt
Default Risk
Contagion
Latin America
Emerging Markets
GRANDES,MARTÍN
The Determinants of Sovereign Bond Spreads: Theory and Facts from Latin America
description This paper aims to identify the macroeconomic determinants of sovereign bond spreads in Argentina, Brazil and Mexico and discusses the economic policies underlying the divergent fortunes experienced by these countries over 1993-2001. Those determinants, namely real GDP growth, gross capital inflows and debt service burden (as a percentage of GDP), are derived from a consistent theoretical framework and empirically tested. The econometric analysis suggests that a permanent change in these determinants has a more significant and robust impact on spreads than transitory shocks. It also points out that financial contagion or risk-aversion variables have a meaningful role in explaining sovereign spreads across Latin American countries
author GRANDES,MARTÍN
author_facet GRANDES,MARTÍN
author_sort GRANDES,MARTÍN
title The Determinants of Sovereign Bond Spreads: Theory and Facts from Latin America
title_short The Determinants of Sovereign Bond Spreads: Theory and Facts from Latin America
title_full The Determinants of Sovereign Bond Spreads: Theory and Facts from Latin America
title_fullStr The Determinants of Sovereign Bond Spreads: Theory and Facts from Latin America
title_full_unstemmed The Determinants of Sovereign Bond Spreads: Theory and Facts from Latin America
title_sort determinants of sovereign bond spreads: theory and facts from latin america
publisher Instituto de Economía, Pontificia Universidad Católica de Chile
publishDate 2007
url http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0717-68212007000200002
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