Modelling the sovereign linkages of key Latin American economies

► Models the dynamics surrounding international bonds within Latin America using Johansen's and a modified three-step procedure. ► Accounts for common volatility across markets within the region. ► Generates portfolio adjustment weights. ► Provides insights into the nature of sovereign linkages of international bonds with varying maturities more specifically. ► the manner in which sovereign linkages evolve and the required portfolio adjustments when there is a credit event in the region.