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Sovereign bond spreads determinants in Latin American countries: Before and during the XXI financial crisis

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  • Martinez, Lisana B.
  • Terceño, Antonio
  • Teruel, Mercedes

Abstract

This paper aims to identify the main determinants of sovereign bond spreads in seven Latin American countries and verify the existence of contagion effect over these markets during the last financial crisis. We apply a panel data framework and find that the inflation, terms of trade ratio and the external debt and international reserves (both as percentage of GDP) are key drivers of sovereign bond spreads. Moreover, we test the crisis impact over emerging economies. Our results show that the crisis has a statistically significant impact on the EMBIG spreads since 2008.

Suggested Citation

  • Martinez, Lisana B. & Terceño, Antonio & Teruel, Mercedes, 2013. "Sovereign bond spreads determinants in Latin American countries: Before and during the XXI financial crisis," Emerging Markets Review, Elsevier, vol. 17(C), pages 60-75.
    • Handle: RePEc:eee:ememar:v:17:y:2013:i:c:p:60-75
    DOI: 10.1016/j.ememar.2013.08.004
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    More about this item

    Keywords

    Bond spreads; Financial crisis; EMBIG; Panel data;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

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