The credit spread dynamics of Latin American euro issues in international bond markets
Data(s) |
01/10/2008
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Resumo |
This paper investigates two important relationships using the sovereign issues made by major Latin American economies in the international bond market: the determinants of credit spread changes using variables derived from structural and macroeconomic theory and the impact of a default episode on the underlying equilibrium dynamics. We find four significant determinants of credit spread changes: an asset and interest rate factor—consistent with structural models of credit spread pricing; the exchange rate—consistent with macroeconomic determinants and the slope of the yield curve—consistent with a business cycle effect. Also, an intra-regional analysis of sovereign yields reveals a shift in the long-run equilibrium dynamics around the Argentine default on the 23 December 2001.<br /> |
Identificador | |
Idioma(s) |
eng |
Publicador |
Elsevier B.V. |
Relação |
http://dro.deakin.edu.au/eserv/DU:30017219/thuraisamy-creditspread-2008.pdf http://dx.doi.org/10.1016/j.mulfin.2008.04.001 |
Direitos |
2008, Elsevier B.V. |
Palavras-Chave | #credit spreads #Latin America #long-run dynamics #sovereign bonds #structural models |
Tipo |
Journal Article |