publication . Part of book or chapter of book . Preprint . 2012

Sovereign Credit Risk in Latin America and Global Common Factors

Manuel Agosin Trumper; Juan Díaz Maureira;
Open Access
  • Published: 01 Sep 2012
  • Publisher: Columbia University Press
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...
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publication . Part of book or chapter of book . Preprint . 2012

Sovereign Credit Risk in Latin America and Global Common Factors

Manuel Agosin Trumper; Juan Díaz Maureira;