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Spreads Soberanos: liquidez, endividamento ou governança?

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  • Katia Rocha
  • Roberto Siqueira
  • Felipe Pinheiro
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    Abstract

    The study analyses the determinants of 24 emerging markets spreads at the period of 1998-2005, through a panel data model determining which sovereigns are more vulnerable to an external shock of liquidity and risk. Nevertheless the usual variables related to shocks, such as the US treasury and VIX index, macroeconomic fundamentals such as the total government debt as proportion of GDP and governance indicators such as regulatory quality have explained successfully with the expected signal both the level and vulnerability of sovereign spreads, a non trivial result given the low frequency of these variables (annual and biannual) comparing to the high daily frequency of spreads and the external shocks regressors. For the period of 2003-2005, the international scenario of excess liquidity and low risk aversion was the main responsible for decreasing of sovereign spreads, while between 1998 and 2002 the spreads´ variation was equally explained by the worsening of the emerging countries´ debt levels.

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    Bibliographic Info

    Paper provided by Instituto de Pesquisa Econômica Aplicada - IPEA in its series Discussion Papers with number 1205.

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    Length: 36 pages
    Date of creation: Aug 2006
    Date of revision:
    Handle: RePEc:ipe:ipetds:1205

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