Precio de Materias Primas y Spread Soberano en Economías Emergentes ¿Importa la Concentración de las Exportaciones?
This paper analyzes the emerging economies sovereign spread, with emphasis on the impact of commodity prices. Using a panel data model, it tests the heterogeneity of this relationship, depending on the degree of exports concentration and distinguishes the impact of global activity on sovereign risk. The main results are that raw materials prices measured by the GSCI index has a significant impact on the sovereign spread, which is heterogeneous and it is reinforced through export concentration measured by the Herfindahl-Hirschmann index. Also, sovereign spreads responds to movements in global activity, captured by OCDE global leading indicator. These results are robust to the use of the share of raw materials over total exports replacing Herfindahl-Hirschmann and world industrial production replacing global leading indicator.
|Date of creation:||Feb 2013|
|Date of revision:|
|Contact details of provider:|| Postal: Casilla No967, Santiago|
Phone: (562) 670 2000
Fax: (562) 698 4847
Web page: http://www.bcentral.cl/
More information through EDIRC
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.:
- Hong G. Min, 1998. "Determinants of emerging market bond spread : do economic fundamentals matter?," Policy Research Working Paper Series 1899, The World Bank.
- Alicia Garcia-Herrero & Alvaro Ortiz, 2006. "The Role of Global Risk Aversion in Explaining Sovereign Spreads," ECONOMIA JOURNAL OF THE LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION, ECONOMIA JOURNAL OF THE LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION, vol. 0(Fall 2006), pages 125-155, August.
- Edwards, Sebastian, 1986.
"The pricing of bonds and bank loans in international markets : An empirical analysis of developing countries' foreign borrowing,"
European Economic Review,
Elsevier, vol. 30(3), pages 565-589, June.
- Sebastian Edwards, 1985. "The Pricing of Bonds and Bank Loans in International Markets: An Empirical Analysis of Developing Countries' Foreign Borrowing," NBER Working Papers 1689, National Bureau of Economic Research, Inc.
- Dailami, Mansoor & Masson, Paul R. & Padou, Jean Jose, 2005.
"Global monetary conditions versus country-specific factors in the determination of emerging market debt spreads,"
Policy Research Working Paper Series
3626, The World Bank.
- Dailami, Mansoor & Masson, Paul R. & Padou, Jean Jose, 2008. "Global monetary conditions versus country-specific factors in the determination of emerging market debt spreads," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1325-1336, December.
- Mansoor Dailami & Paul Masson & Jean Jose Padou, 2005. "Global Monetary Conditions versus Country-Specific Factors in the Determination of Emerging Market Debt Spreads," International Finance 0506003, EconWPA.
- Sy, Amadou N. R., 2002. "Emerging market bond spreads and sovereign credit ratings: reconciling market views with economic fundamentals," Emerging Markets Review, Elsevier, vol. 3(4), pages 380-408, December.
- John C. Driscoll & Aart C. Kraay, 1998. "Consistent Covariance Matrix Estimation With Spatially Dependent Panel Data," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 549-560, November.
- Rolando Avendaño & Helmut Reisen & Javier Santiso, 2008. "The Macro Management of Commodity Booms: Africa and Latin America's Response to Asian Demand," OECD Development Centre Working Papers 270, OECD Publishing.
- 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.
- Peter Rowland & José Luis Torres Trespalacios, 2004.
"Determinants Of Spread And Creditworthiness For Emerging Market Sovereign Debt: A Panel Data Study,"
BORRADORES DE ECONOMIA
002337, BANCO DE LA REPÚBLICA.
- Peter Rowland & José Luis Torres, . "Determinants of Spread and Creditworthiness for Emerging Market Sovereign Debt:A Panel Data Study," Borradores de Economia 295, Banco de la Republica de Colombia.
- Alicia García-Herrero & Álvaro Ortiz, 2005.
"The role of global risk aversion in explaining Latin American sovereign spreads,"
0505, Banco de España;Working Papers Homepage.
- Alicia Garcia Herrero & Alvaro Ortiz, 2004. "The Role Of Global Risk Aversion In Explaining Latin American Sovereign Spreads," International Finance 0408001, EconWPA.
- Alicia Garcia Herrero & Alvaro Ortiz, 2005. "The Role Of Global Risk Aversion In Explaining Latin American Sovereign Spreads," International Finance 0503005, EconWPA.
- Iva Petrova & Michael G Papaioannou & Dimitri Bellas, 2010. "Determinants of Emerging Market Sovereign Bond Spreads; Fundamentals vs Financial Stress," IMF Working Papers 10/281, International Monetary Fund.
- Christian Daude & Ángel Melguizo & Alejandro Neut, 2010. "Fiscal Policy in Latin America: Countercyclical and Sustainable at Last?," OECD Development Centre Working Papers 291, OECD Publishing.
- Pesaran, M.H. & Smith, R., 1992.
"Estimating Long-Run Relationships From Dynamic Heterogeneous Panels,"
Cambridge Working Papers in Economics
9215, Faculty of Economics, University of Cambridge.
- Pesaran, M. Hashem & Smith, Ron, 1995. "Estimating long-run relationships from dynamic heterogeneous panels," Journal of Econometrics, Elsevier, vol. 68(1), pages 79-113, July.
- Comelli, Fabio, 2012. "Emerging market sovereign bond spreads: Estimation and back-testing," Emerging Markets Review, Elsevier, vol. 13(4), pages 598-625.
- Fabio Comelli, 2012. "Emerging Market Sovereign Bond Spreads; Estimation and Back-testing," IMF Working Papers 12/212, International Monetary Fund.
- Barry Eichengreen & Ashoka Mody, 2000. "What Explains Changing Spreads on Emerging Market Debt?," NBER Chapters, in: Capital Flows and the Emerging Economies: Theory, Evidence, and Controversies, pages 107-134 National Bureau of Economic Research, Inc.
When requesting a correction, please mention this item's handle: RePEc:chb:bcchwp:684. 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: (Claudio Sepulveda)
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.