Information transmission between sovereign debt CDS and other financial factors – The case of Latin America
This paper extends previous research by investigating the intertemporal causality relationships between daily Latin America sovereign credit default swap (CDS) returns and other financial sovereign debt spread determinants. The empirical results indicate that information in sovereign CDS can both lead and lag these financial determinants. Specifically, country financial variables, including exchange rates and lending spreads, and global financial variables including 10-U.S. Treasury yields, VIX and TED spreads, are important determinants for future sovereign CDS price movements. The findings provide investment implications for international financial markets.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 26 (2013)
Issue (Month): C ()
|Contact details of provider:|| Web page: http://www.elsevier.com/locate/inca/620163|
References listed on IDEAS
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.:
- Mehl, Arnaud & Reynaud, Julien, 2010. "Risky public domestic debt composition in emerging economies," Journal of International Money and Finance, Elsevier, vol. 29(1), pages 1-18, February.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2008.
"The Forgotten History of Domestic Debt,"
NBER Working Papers
13946, National Bureau of Economic Research, Inc.
- Reinhart, Carmen, 2008. "The Next (but not new) Frontier for Sovereign Default," MPRA Paper 11865, University Library of Munich, Germany.
- Ioannis A. Tampakoudis & Demetres N. Subeniotis & Ioannis G. Kroustalis, 2012. "Greek sovereign credit market dynamics: Credit Default Swap and bond spreads' linkages," International Journal of Trade and Global Markets, Inderscience Enterprises Ltd, vol. 5(3/4), pages 268-280.
- Waldenström, Daniel, 2010. "Why does sovereign risk differ for domestic and external debt? Evidence from Scandinavia, 1938-1948," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 387-402, April.
- Engle, Robert F & Granger, Clive W J, 1987.
"Co-integration and Error Correction: Representation, Estimation, and Testing,"
Econometric Society, vol. 55(2), pages 251-76, March.
- Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
- Miguel A. Segoviano Basurto & Carlos Caceres & Vincenzo Guzzo, 2010. "Sovereign Spreads; Global Risk Aversion, Contagion or Fundamentals?," IMF Working Papers 10/120, International Monetary Fund.
- Ferreira, Miguel A. & Gama, Paulo M., 2007. "Does sovereign debt ratings news spill over to international stock markets?," Journal of Banking & Finance, Elsevier, vol. 31(10), pages 3162-3182, October.
- Cristina Arellano & Narayana R. Kocherlakota, 2008.
"Internal Debt Crises and Sovereign Defaults,"
NBER Working Papers
13794, National Bureau of Economic Research, Inc.
- Narayana Kocherlakota & Cristina Arellano, 2008. "Internal Debt Crises and Sovereign Defaults," 2008 Meeting Papers 139, Society for Economic Dynamics.
- Cristina Arellano & Narayana Kocherlakota, 2008. "Internal Debt Crises and Sovereign Defaults," Levine's Bibliography 122247000000001880, UCLA Department of Economics.
- Juttner, D. Johannes & Chung, David & Leung, Wayne, 2006. "Emerging market bond returns--An investor perspective," Journal of Multinational Financial Management, Elsevier, vol. 16(2), pages 105-121, April.
- Moser, Christoph, 2007. "The Impact of Political Risk on Sovereign Bond Spreads - Evidence from Latin America," Proceedings of the German Development Economics Conference, Göttingen 2007 24, Verein für Socialpolitik, Research Committee Development Economics.
- Harold L. Cole & Timothy J. Kehoe, 1998.
"Self-Fulfilling Debt Crises,"
Levine's Working Paper Archive
114, David K. Levine.
- Sebastian Edwards, 1985.
"Country Risk, Foreign Borrowing and the Social Discount Rate in an Open Developing Economy,"
NBER Working Papers
1651, National Bureau of Economic Research, Inc.
- Edwards, Sebastian, 1986. "Country risk, foreign borrowing, and the social discount rate in an open developing economy," Journal of International Money and Finance, Elsevier, vol. 5(1, Supple), pages S79-S96, March.
- Davide Furceri & Aleksandra Zdzienicka, 2011.
"How Costly Are Debt Crises?,"
IMF Working Papers
11/280, International Monetary Fund.
- Jun Pan & Kenneth J. Singleton, 2008. "Default and Recovery Implicit in the Term Structure of Sovereign "CDS" Spreads," Journal of Finance, American Finance Association, vol. 63(5), pages 2345-2384, October.
- Bernoth, Kerstin & Erdogan, Burcu, 2010.
"Sovereign bond yield spreads: a time-varying coefficient approach,"
289, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
- Bernoth, Kerstin & Erdogan, Burcu, 2012. "Sovereign bond yield spreads: A time-varying coefficient approach," Journal of International Money and Finance, Elsevier, vol. 31(3), pages 639-656.
- Kerstin Bernoth & Burcu Erdogan, 2010. "Sovereign Bond Yield Spreads: A Time-Varying Coefficient Approach," Discussion Papers of DIW Berlin 1078, DIW Berlin, German Institute for Economic Research.
- Reinhart, Carmen & Kaminsky, Graciela, 1999.
"The twin crises: The causes of banking and balance of payments problems,"
14081, University Library of Munich, Germany.
- Carmen M. Reinhart & Graciela L. Kaminsky, 1999. "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems," American Economic Review, American Economic Association, vol. 89(3), pages 473-500, June.
- Graciela L. Kaminsky & Carmen M. Reinhart, 1996. "The twin crises: the causes of banking and balance-of-payments problems," International Finance Discussion Papers 544, Board of Governors of the Federal Reserve System (U.S.).
- Reinhart, Carmen & Kaminsky, Graciela, 2000.
"Las crisis gemelas: las causas de los problemas bancarios y de balanza de pagos
[The twin crises: Te causes of banking and balance of payments problems]," MPRA Paper 13842, University Library of Munich, Germany.
- Maltritz, Dominik, 2012. "Determinants of sovereign yield spreads in the Eurozone: A Bayesian approach," Journal of International Money and Finance, Elsevier, vol. 31(3), pages 657-672.
- Theoharry Grammatikos & Robert Vermeulen, 2010.
"Transmission of the Financial and Sovereign Debt Crises to the EMU: Stock Prices, CDS Spreads and Exchange Rates,"
LSF Research Working Paper Series
10-13, Luxembourg School of Finance, University of Luxembourg.
- Grammatikos, Theoharry & Vermeulen, Robert, 2012. "Transmission of the financial and sovereign debt crises to the EMU: Stock prices, CDS spreads and exchange rates," Journal of International Money and Finance, Elsevier, vol. 31(3), pages 517-533.
- Theoharry Grammatikos & Robert Vermeulen, 2011. "Transmission of the Financial and Sovereign Debt Crises to the EMU: Stock Prices, CDS Spreads and Exchange Rates," DNB Working Papers 287, Netherlands Central Bank, Research Department.
- Laura E. Kodres & Kristian Hartelius & Kenichiro Kashiwase, 2008. "Emerging Market Spread Compression; Is it Real or is it Liquidity?," IMF Working Papers 08/10, International Monetary Fund.
- Barry Eichengreen & Ashoka Mody, 1998. "What Explains Changing Spreads on Emerging-Market Debt: Fundamentals or Market Sentiment?," NBER Working Papers 6408, National Bureau of Economic Research, Inc.
- Jens Hilscher & Yves Nosbusch, 2007.
"Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt,"
Money Macro and Finance (MMF) Research Group Conference 2006
114, Money Macro and Finance Research Group, revised 24 Apr 2007.
- Jens Hilscher & Yves Nosbusch, 2010. "Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt," Review of Finance, European Finance Association, vol. 14(2), pages 235-262.
- Nan Li, 2009. "The price discovery process in credit derivative market: evidence from sovereign CDS market," American Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 1(4), pages 393-407.
- Furceri, Davide & Guichard, Stéphanie & Rusticelli, Elena, 2012.
"The effect of episodes of large capital inflows on domestic credit,"
The North American Journal of Economics and Finance,
Elsevier, vol. 23(3), pages 325-344.
- Davide Furceri & Stéphanie Guichard & Elena Rusticelli, 2011. "The Effect of Episodes of Large Capital Inflows on Domestic Credit," OECD Economics Department Working Papers 864, OECD Publishing.
- Marcio Garcia & Roberto Rigobon, 2004.
"A Risk Management Approach to Emerging Market's Sovereign Debt Sustainability with an Application to Brazilian Data,"
NBER Working Papers
10336, National Bureau of Economic Research, Inc.
- Márcio Gomes Pinto Garcia & Roberto Rigobon, 2004. "A Risk Management Approach to Emerging Market’s Sovereign Debt Sustainability with an Application to Brazilian Data," Textos para discussão 484, Department of Economics PUC-Rio (Brazil).
- Martin Schneider & Aaron Tornell, 2004. "Balance Sheet Effects, Bailout Guarantees and Financial Crises," Review of Economic Studies, Oxford University Press, vol. 71(3), pages 883-913.
- Roberto Chang & Andres Velasco, 1998.
"Financial crises in emerging markets: a canonical model,"
FRB Atlanta Working Paper
98-10, Federal Reserve Bank of Atlanta.
- Chang, R. & Velasco, A., 1998. "Financial Crises in Emerging Markets: A Canonical Model," Working Papers 98-21, C.V. Starr Center for Applied Economics, New York University.
- Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2007.
"How Sovereign is Sovereign Credit Risk?,"
NBER Working Papers
13658, National Bureau of Economic Research, Inc.
- Teo, Melvyn, 2011. "The liquidity risk of liquid hedge funds," Journal of Financial Economics, Elsevier, vol. 100(1), pages 24-44, April.
- Bordo, Michael D. & Meissner, Christopher M. & Weidenmier, Marc D., 2009. "Identifying the effects of an exchange rate depreciation on country risk: Evidence from a natural experiment," Journal of International Money and Finance, Elsevier, vol. 28(6), pages 1022-1044, October.
- Kopits, George, 2002. "Central European EU accession and Latin American integration: Mutual lessons in macroeconomic policy design," The North American Journal of Economics and Finance, Elsevier, vol. 13(3), pages 253-277, December.
- George Kopits, 2002. "Central European EU Accession and Latin American Integration: Mutual Lessons in Macro-Economic Policy Design," Working Papers 75, Oesterreichische Nationalbank (Austrian Central Bank).
- Baek, In-Mee & Bandopadhyaya, Arindam & Du, Chan, 2005. "Determinants of market-assessed sovereign risk: Economic fundamentals or market risk appetite?," Journal of International Money and Finance, Elsevier, vol. 24(4), pages 533-548, June.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Hong G. Min, 1998. "Determinants of emerging market bond spread : do economic fundamentals matter?," Policy Research Working Paper Series 1899, The World Bank.
- Gianluigi Ferrucci, 2003. "Empirical determinants of emerging market economies' sovereign bond spreads," Bank of England working papers 205, Bank of England.
- Iuliana Matei, 2010.
"Contagion and causality: an empirical analysis on sovereign bond spreads,"
AccessEcon, vol. 30(3), pages 1885-1896.
- Iuliana Matei, 2010. "Contagion and causality : an empirical analysis on sovereign bond spreads," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00515123, HAL.
- Roberto Chang & Andres Velasco, 1998. "Financial Crises in Emerging Markets," NBER Working Papers 6606, National Bureau of Economic Research, Inc.
- Alsakka, Rasha & ap Gwilym, Owain, 2012. "Foreign exchange market reactions to sovereign credit news," Journal of International Money and Finance, Elsevier, vol. 31(4), pages 845-864.
- Ugo Panizza, 2008. "Domestic And External Public Debt In Developing Countries," UNCTAD Discussion Papers 188, United Nations Conference on Trade and Development.
When requesting a correction, please mention this item's handle: RePEc:eee:ecofin:v:26:y:2013:i:c:p:586-601. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shamier, Wendy)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.