Convergence and Divergence of Sovereign Bond Spreads: Lessons From Latin America
Latin American sovereign bonds represent a significant share of the emerging debt class (50 per cent by early 2001) and so have considerably shaped the dynamics of this market. Recent financial turmoil, contagion episodes and investors' renewed concerns with debt default call for a better under...
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Format: | Elektronisch E-Book |
Sprache: | English |
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Paris
OECD Publishing
2002
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Schriftenreihe: | OECD Development Centre Working Papers
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Online-Zugang: | UBA01 UBG01 UEI01 UER01 UPA01 UBR01 UBW01 FFW01 FNU01 EUV01 FRO01 FHR01 FHN01 TUM01 FHI01 UBM01 Volltext |
Zusammenfassung: | Latin American sovereign bonds represent a significant share of the emerging debt class (50 per cent by early 2001) and so have considerably shaped the dynamics of this market. Recent financial turmoil, contagion episodes and investors' renewed concerns with debt default call for a better understanding of sovereign bond pricing (spreads) and its determinants, either macro fundamentals, contagion or other external variables. This paper addresses two important questions not fully tackled in the existing literature: i) to what extent do permanent or transitory changes in fundamentals affect sovereign risk perception, i.e. default risk, once contagion is controlled for? ii) how can a relatively high and volatile spread be the cause of unsustainable public debt accumulation? In order to answer these questions, we estimate long-term structural equations to pin down country risk determinants for Argentina, Chile and Mexico, using a time series framework spanning 1994-2000. Unlike former ... |
Beschreibung: | 1 Online-Ressource (50 Seiten) 21 x 29.7cm |
DOI: | 10.1787/822657710540 |
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spelling | Grandes, Martin Verfasser aut Convergence and Divergence of Sovereign Bond Spreads Lessons From Latin America Martin Grandes Paris OECD Publishing 2002 1 Online-Ressource (50 Seiten) 21 x 29.7cm txt rdacontent c rdamedia cr rdacarrier OECD Development Centre Working Papers Latin American sovereign bonds represent a significant share of the emerging debt class (50 per cent by early 2001) and so have considerably shaped the dynamics of this market. Recent financial turmoil, contagion episodes and investors' renewed concerns with debt default call for a better understanding of sovereign bond pricing (spreads) and its determinants, either macro fundamentals, contagion or other external variables. This paper addresses two important questions not fully tackled in the existing literature: i) to what extent do permanent or transitory changes in fundamentals affect sovereign risk perception, i.e. default risk, once contagion is controlled for? ii) how can a relatively high and volatile spread be the cause of unsustainable public debt accumulation? In order to answer these questions, we estimate long-term structural equations to pin down country risk determinants for Argentina, Chile and Mexico, using a time series framework spanning 1994-2000. Unlike former ... Development https://doi.org/10.1787/822657710540 Verlag URL des Erstveröffentlichers Volltext |
spellingShingle | Grandes, Martin Convergence and Divergence of Sovereign Bond Spreads Lessons From Latin America Development |
title | Convergence and Divergence of Sovereign Bond Spreads Lessons From Latin America |
title_auth | Convergence and Divergence of Sovereign Bond Spreads Lessons From Latin America |
title_exact_search | Convergence and Divergence of Sovereign Bond Spreads Lessons From Latin America |
title_exact_search_txtP | Convergence and Divergence of Sovereign Bond Spreads Lessons From Latin America |
title_full | Convergence and Divergence of Sovereign Bond Spreads Lessons From Latin America Martin Grandes |
title_fullStr | Convergence and Divergence of Sovereign Bond Spreads Lessons From Latin America Martin Grandes |
title_full_unstemmed | Convergence and Divergence of Sovereign Bond Spreads Lessons From Latin America Martin Grandes |
title_short | Convergence and Divergence of Sovereign Bond Spreads |
title_sort | convergence and divergence of sovereign bond spreads lessons from latin america |
title_sub | Lessons From Latin America |
topic | Development |
topic_facet | Development |
url | https://doi.org/10.1787/822657710540 |
work_keys_str_mv | AT grandesmartin convergenceanddivergenceofsovereignbondspreadslessonsfromlatinamerica |