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The role of country, regional and global market risks in the dynamics of Latin American yield spreads

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  • Audzeyeva, Alena
  • Schenk-Hoppé, Klaus Reiner

Abstract

We analyze the joint impact of country, regional and global market risks on daily changes in yield spreads of Mexico, Colombia and Brazil. In contrast to previous studies, we consider a homogenous set of liquid Eurobonds which are representative of current emerging bond markets. All risk-factor groups are significant but country-specific differences exist. Spread changes of all three countries are mainly driven by global risk. The second most important contributor to spread changes is country risk for Mexico and Brazil but regional risk for Colombia. The sensitivity of spread changes to risk factors varies with bond maturity.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

Volume (Year): 20 (2010)
Issue (Month): 4 (October)
Pages: 404-422

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Handle: RePEc:eee:intfin:v:20:y:2010:i:4:p:404-422

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Web page: http://www.elsevier.com/locate/intfin

Related research

Keywords: Emerging market Yield spreads Eurobonds Market risk;

References

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Cited by:
  1. Martinez, Lisana B. & Terceño, Antonio & Teruel, Mercedes, 2013. "Sovereign bond spreads determinants in Latin American countries: Before and during the XXI financial crisis," Emerging Markets Review, Elsevier, vol. 17(C), pages 60-75.
  2. Comelli, Fabio, 2012. "Emerging market sovereign bond spreads: Estimation and back-testing," Emerging Markets Review, Elsevier, vol. 13(4), pages 598-625.

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