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Risk Premia for Emerging Markets Bonds: Evidence from Brazilian Government Debt, 1996-2002

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Author Info
André Soares Loureiro
Fernando de Holanda Barbosa
Abstract

The goal of this paper is to identify the determinants of the risk premium on Brazilian government debt traded in the emerging markets bonds. The empirical evidence presented does not reject the hypotheses that fiscal solvency and the size of the public debt affect the risk premium as measured by the spread over treasury securities of the Brazilian C-bond.

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File URL: http://www.bcb.gov.br/pec/wps/ingl/wps85.pdf
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Paper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 85.

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Date of creation: May 2004
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Handle: RePEc:bcb:wpaper:85

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Web page: http://www.bcb.gov.br/?english

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Vahid, F & Engle, Robert F, 1993. "Common Trends and Common Cycles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(4), pages 341-60, Oct.-Dec.. [Downloadable!] (restricted)
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  2. Marcelo Kfoury Muinhos & Sérgio Afonso Lago Alves & Gil Riella, 2002. "Modelo Estrutural com Setor Externo: Endogenização do Prêmio de Risco e do Câmbio," Working Papers Series 42, Central Bank of Brazil, Research Department. [Downloadable!]
  3. Marcelo Kfoury Muinhos & Sergio Afonso Lago Alves, 2003. "Medium-Size Macroeconomic Model for the Brazilian Economy," Working Papers Series 64, Central Bank of Brazil, Research Department. [Downloadable!]
  4. Carlos Hamilton Vasconcelos Araújo & Osmani Teixeira de Carvalho de Guillén, 2002. "Componentes de Curto e Longo Prazo das Taxas de Juros no Brasil," Working Papers Series 55, Central Bank of Brazil, Research Department. [Downloadable!]
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