Sovereign Credit Risk in Latin America and Global Common Factors
Author
dc.contributor.author
Agosín Trumper, Manuel
Author
dc.contributor.author
Díaz Maureira, Juan
Admission date
dc.date.accessioned
2017-04-27T20:40:30Z
Available date
dc.date.available
2017-04-27T20:40:30Z
Publication date
dc.date.issued
2012
Cita de ítem
dc.identifier.citation
Serie Documentos de Trabajo No. 365, pp. 1 - 28, Septiembre, 2012
es_ES
Identifier
dc.identifier.uri
https://repositorio.uchile.cl/handle/2250/143782
Abstract
dc.description.abstract
This 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
Lenguage
dc.language.iso
en
es_ES
Publisher
dc.publisher
Universidad de Chile, Facultad de Economía y Negocios