The Role of Global Risk Aversion in Explaining Sovereign Spreads
AbstractThis paper assesses empirically whether global investors´ risk aversion-and its main determinants (U.S. economic growth and the U.S. risk-free rate)-explains developments in Latin American sovereign spreads. We find that global risk aversion is significant and positively related to sovereign spreads in all Latin American countries analyzed. Furthermore, its impact is persistent over time and even increases in most countries. In addition, a rise in the U.S. long-term risk-free rate lowers sovereign spreads in all countries in the short term. However, this optimistic result, given the current juncture in which long-term rates are expected to increase, reverts very rapidly so that sovereign spreads actually rise only some months later.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by LACEA - LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION in its journal JOURNAL OF LACEA ECONOMIA.
Volume (Year): (2006)
Issue (Month): ()
Contact details of provider:
global risk aversion; sovereign spreads; Latin America;
Find related papers by JEL classification:
- F3 - International Economics - - International Finance
- F34 - International Economics - - International Finance - - - International Lending and Debt Problems
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Ercio Muñoz S., 2013.
"Precio de Materias Primas y Spread Soberano en Economías Emergentes ¿Importa la Concentración de las Exportaciones?,"
Notas de Investigación Journal Economía Chilena (The Chilean Economy),
Central Bank of Chile, vol. 16(1), pages 100-121, April.
- Ercio Muñoz, 2013. "Precio de Materias Primas y Spread Soberano en Economías Emergentes ¿Importa la Concentración de las Exportaciones?," Working Papers Central Bank of Chile 684, Central Bank of Chile.
- Kevin Cowan & Jose De Gregorio & Alejandro Micco & Christopher Neilson, 2007.
"Financial Diversification, Sudden Stops and Sudden Starts,"
Working Papers Central Bank of Chile
423, Central Bank of Chile.
- Kevin Cowan & José De Gregorio & Alejandro Micco & Christopher Neilson, 2008. "Financial Diversification, Sudden Stops, and Sudden Starts," Central Banking, Analysis, and Economic Policies Book Series, in: Kevin Cowan & Sebastián Edwards & Rodrigo O. Valdés & Norman Loayza (Series Editor) & Klaus Schmid (ed.), Current Account and External Financing, edition 1, volume 12, chapter 5, pages 159-194 Central Bank of Chile.
- Edward W. Sun & Daniel Tenengauzer & Ali Bastani & Omid Rezania, 2011. "Identification of Driving Factors for Emerging Markets Sovereign Spreads," Economics Bulletin, AccessEcon, vol. 31(3), pages 2584-2592.
- Böninghausen, Benjamin & Zabel, Michael, 2013. "Credit Ratings and Cross-Border Bond Market Spillovers," MPRA Paper 47390, University Library of Munich, Germany.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Roberto Bernal).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.