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The role of country, regional and global market risks in the dynamics of Latin American yield spreads

  • Audzeyeva, Alena
  • Schenk-Hoppé, Klaus Reiner

We analyze the joint impact of country, regional and global market risks on daily changes in yield spreads of Mexico, Colombia and Brazil. In contrast to previous studies, we consider a homogenous set of liquid Eurobonds which are representative of current emerging bond markets. All risk-factor groups are significant but country-specific differences exist. Spread changes of all three countries are mainly driven by global risk. The second most important contributor to spread changes is country risk for Mexico and Brazil but regional risk for Colombia. The sensitivity of spread changes to risk factors varies with bond maturity.

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Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

Volume (Year): 20 (2010)
Issue (Month): 4 (October)
Pages: 404-422

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Handle: RePEc:eee:intfin:v:20:y:2010:i:4:p:404-422
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