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...
Gespeichert in:
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Paris
OECD Publishing
2002
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| Schriftenreihe: | OECD Development Centre Working Papers
no.200 |
| Schlagworte: | |
| Online-Zugang: | 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 p.) 21 x 29.7cm. |
| DOI: | 10.1787/822657710540 |
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| spelling | Grandes, Martin VerfasserIn aut Convergence and Divergence of Sovereign Bond Spreads Lessons From Latin America Martin, Grandes Paris OECD Publishing 2002 1 Online-Ressource (50 p.) 21 x 29.7cm. Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier OECD Development Centre Working Papers no.200 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 FWS01 ZDB-13-SOC FWS_PDA_SOC https://doi.org/10.1787/822657710540 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_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 |