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

被引:6
作者
Audzeyeva, Alena [1 ]
Schenk-Hoppe, Klaus Reiner [2 ,3 ]
机构
[1] Keele Univ, Keele Management Sch, Keele, Staffs, England
[2] Univ Leeds, Business Sch, Leeds, W Yorkshire, England
[3] Univ Leeds, Sch Math, Leeds, W Yorkshire, England
关键词
Emerging market; Yield spreads; Eurobonds; Market risk;
D O I
10.1016/j.intfin.2010.06.001
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
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. (C) 2010 Elsevier B.V. All rights reserved.
引用
收藏
页码:404 / 422
页数:19
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