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Sovereign Credit Risk in Latin America and Global Common Factors

Authordc.contributor.authorAgosín Trumper, Manuel 
Authordc.contributor.authorDíaz Maureira, Juan 
Cita de ítemdc.identifier.citationSerie Documentos de Trabajo No. 365, pp. 1 - 28, Septiembre, 2012es_ES
Abstractdc.description.abstractThis paper studies the importance of global common factors in the evolution of sovereign credit risk in a group of emerging economies (15 countries in Latin America for which daily data are available on sovereign credit spreads and CDS quotations from the beginning of 2007 until February 2012). We arrive at three principal results. First, there is robust evidence for the existence of a common factor in the evolution of the two measurements of sovereign credit risk that we use. Second, the comovement between this common factor and our two measures of individual-country sovereign risk rose significantly after the bankruptcy of Lehman Brothers on September 15, 2008, widely regarded as the beginning of the most acute phase of the crisis. We interpret the results as evidence that changes in the availability of foreign capital to emerging economies is dependent less on developments that are internal to these economies than on international liquidity shocks and risk appetite, which in turn depend on global factors exogenous to the recipient economies. Third the long-run values of the measurements of sovereign risk conform to conventional notions of creditworthiness and are closely related to credit ratings. But even here, important credit events also affect long-run sovereign risk measurements.es_ES
Publisherdc.publisherUniversidad de Chile, Facultad de Economía y Negocioses_ES
Type of licensedc.rightsAttribution-NonCommercial-NoDerivs 3.0 Chile*
Link to Licensedc.rights.uri*
Sourcedc.sourceSerie Documentos de Trabajoes_ES
Títulodc.titleSovereign Credit Risk in Latin America and Global Common Factorses_ES
Document typedc.typeDocumento de trabajoes_ES

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Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivs 3.0 Chile