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Factores mundiales y diferenciales de intereses en mercados emergentes

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  • Martín González Rozada
  • Eduardo Levy Yeyati

Abstract

(Disponible en idioma inglés únicamente) En este trabajo se muestra que buena parte del grado de variación de los diferenciales de intereses de los bonos de mercados emergentes obedece al desenvolvimiento de factores mundiales tales como la disposición a aceptar riesgos (según se aprecia en el diferencial de bonos empresariales de alto rendimiento de mercados desarrollados), liquidez mundial (medida por las tasas de interés internacionales) y el contagio (de acontecimientos sistémicos como el incumplimiento de Rusia). Este vínculo se ha mantenido relativamente estable a través de la historia de la clase de mercados emergentes, es robusto a la inclusión de factores específicos de los países y permite formular predicciones precisas de largo plazo. En general, los resultados resaltan el papel crítico que desempeñan los factores exógenos en el desenvolvimiento del costo del endeudamiento que encaran las economías emergentes.

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Bibliographic Info

Paper provided by Inter-American Development Bank, Research Department in its series Research Department Publications with number 4446.

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Date of creation: May 2006
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Handle: RePEc:idb:wpaper:4446

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  1. Guillermo A. Calvo & Ernesto Talvi, 2005. "Sudden Stop, Financial Factors and Economic Collpase in Latin America: Learning from Argentina and Chile," NBER Working Papers 11153, National Bureau of Economic Research, Inc.
  2. Alicia Garcia Herrero & Alvaro Ortiz, 2004. "The Role Of Global Risk Aversion In Explaining Latin American Sovereign Spreads," International Finance 0408001, EconWPA.
  3. Choi, In, 2001. "Unit root tests for panel data," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 249-272, April.
  4. Maddala, G S & Wu, Shaowen, 1999. " A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 631-52, Special I.
  5. Olivier Blanchard, 2004. "Fiscal Dominance and Inflation Targeting: Lessons from Brazil," NBER Working Papers 10389, National Bureau of Economic Research, Inc.
  6. Reinhart, Carmen & Calvo, Guillermo & Leiderman, Leonardo, 1992. "Capital Inflows and Real Exchange Rate Appreciation in Latin America," MPRA Paper 13843, University Library of Munich, Germany.
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