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The International Transmission of Risk: Causal Relations Among Developed and Emerging Countries� Term Premia

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  • Juan Andr�s Espinosa-Torres
  • Jose E. Gomez-Gonzalez
  • Luis Fernando Melo-Velandia
  • Jos� Fernando Moreno-Guti�rrez

Abstract

We study the effect of shocks to the United States government bonds term premium on Latin American government bonds term premia. For doing so, we compute dynamic multipliers. Our main findings indicate that Latin American countries� term premia respond permanently to changes in United States term premium. However, impulse-response functions vary depending on the country and particular time-length for which premia are computed. Responses are larger for Brazil and Colombia. Mexico exhibits the lowest responses for the four economies in our study.

Suggested Citation

  • Juan Andr�s Espinosa-Torres & Jose E. Gomez-Gonzalez & Luis Fernando Melo-Velandia & Jos� Fernando Moreno-Guti�rrez, 2015. "The International Transmission of Risk: Causal Relations Among Developed and Emerging Countries� Term Premia," Borradores de Economia 12609, Banco de la Republica.
    • Handle: RePEc:col:000094:012609
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    References listed on IDEAS

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    Cited by:

    1. Laura Pareja Restrepo, 2016. "Financial Interdependence and Contagion: the transmission of financial stress from the United States to Latin America," Documentos CEDE 14235, Universidad de los Andes, Facultad de Economía, CEDE.
    2. Daniel Mariño-Ustacara & Luis Fernando Melo-Velandia, 2016. "Relación entre los valores en riesgo de los principales mercados financieros colombianos: un enfoque a través de modelos multivariados de regresión cuantílica," Borradores de Economia 975, Banco de la Republica de Colombia.

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    Keywords

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    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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