Spreads Soberanos: ¿Diferencian los Inversionistas Internacionales entre Economías Emergentes?
This paper examines the global investors’ behavior related to emerging markets assets, controlling by credit rating. Hence, a particular interest is set on reviewing whether these global agents do differentiate between investment grade and non-investment grade emerging economies once they face shocks to international financial markets. It is interesting to explore how these investors look at Chile in comparison to other emerging economies both ranked in a similar credit rating notch and neighbor ones. Thus, this study aim at analyzing the main hypotheses raised on investment differentiation by credit rating and inter-regional contagion based upon the performance of the sovereign spread volatility of emerging markets economies. The main results support the hypothesis that a clear differentiation from global investors about emerging markets cannot be observed during tranquil periods. However, a higher preference can be observed for better credit rating assets under periods of turbulence in the international financial markets.
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- Kaminsky, Graciela L. & Reinhart, Carmen M., 2000.
"On crises, contagion, and confusion,"
Journal of International Economics,
Elsevier, vol. 51(1), pages 145-168, June.
- Reinhart, Carmen & Kaminsky, Graciela, 1998. "On crises, contagion, and confusion," MPRA Paper 13709, University Library of Munich, Germany.
- Roberto Rigobon, 2002. "Contagion: How to Measure It?," NBER Chapters,in: Preventing Currency Crises in Emerging Markets, pages 269-334 National Bureau of Economic Research, Inc.
- Roberto Rigobon, 2001. "Contagion: How to Measure It?," NBER Working Papers 8118, National Bureau of Economic Research, Inc.
- Valentín Délano & Jorge Selaive, 2005. "Spreads Soberanos: Una Aproximación Factorial," Working Papers Central Bank of Chile 309, Central Bank of Chile.
- Mico Loretan & William B. English, 2000. "Evaluating "correlation breakdowns" during periods of market volatility," International Finance Discussion Papers 658, Board of Governors of the Federal Reserve System (U.S.). Full references (including those not matched with items on IDEAS)
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