کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
968828 | 931667 | 2008 | 18 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: The credit spread dynamics of Latin American euro issues in international bond markets The credit spread dynamics of Latin American euro issues in international bond markets](/preview/png/968828.png)
This paper investigates two important relationships using the sovereign issues made by major Latin American economies in the international bond market: the determinants of credit spread changes using variables derived from structural and macroeconomic theory and the impact of a default episode on the underlying equilibrium dynamics. We find four significant determinants of credit spread changes: an asset and interest rate factor—consistent with structural models of credit spread pricing; the exchange rate—consistent with macroeconomic determinants and the slope of the yield curve—consistent with a business cycle effect. Also, an intra-regional analysis of sovereign yields reveals a shift in the long-run equilibrium dynamics around the Argentine default on the 23 December 2001.
Journal: Journal of Multinational Financial Management - Volume 18, Issue 4, October 2008, Pages 328–345