The Role Of Global Risk Aversion In Explaining Latin American Sovereign Spreads
AbstractThis paper explores the role of global risk aversion (GRA) and its main determinants, US economic growth and the US government bond yield, in explaining developments in Latin American sovereign spreads. We find that GRA is significant and positively related to Latin American sovereign spreads and that its impact varies across countries and over time. Those countries with the lowest risk, such as Chile, are more affected by GRA. Its relevance has also risen over time, particularly since the sharp change in the perception of risk stemming from the Enron scandal. Finally, an increase in both US economic growth and the US government bond yield are found to reduce sovereign spreads in most Latin American countries, while the opposite is true for US short-term interest rates.
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Bibliographic InfoPaper provided by EconWPA in its series International Finance with number 0408001.
Length: 56 pages
Date of creation: 06 Aug 2004
Date of revision:
Note: Type of Document - pdf; pages: 56
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GLOBAL RISK AVERSION; SOVEREIGN SPREADS; LATIN AMERICA;
Other versions of this item:
- Alicia Garcia Herrero & Alvaro Ortiz, 2005. "The Role Of Global Risk Aversion In Explaining Latin American Sovereign Spreads," International Finance 0503005, EconWPA.
- Alicia García-Herrero & Álvaro Ortiz, 2005. "The role of global risk aversion in explaining Latin American sovereign spreads," Banco de Espaï¿½a Working Papers 0505, Banco de Espa�a.
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-08-09 (All new papers)
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