Modelling the Sovereign Linkages of Key Latin American Economies

Kannan Thuraisamy () and Gerard Gannon

Working Papers from Deakin University, Department of Economics

Abstract: This paper models the cross-market dynamics in an emerging market regional setting using a homogenous set of international sovereign bonds issued by key Latin American economies. We employ Johansen's and a modified three-step procedure, which generates portfolio adjustment weights while accounting for common volatility effects across markets. The bonds are grouped based upon maturities across different markets in the Latin American region. This paper provides insights into the nature of sovereign linkages of key Latin American markets generally, and sovereign international bonds with varying maturities more specifically. The empirical results also highlight the manner in which sovereign linkages evolve in Latin America and the required portfolio adjustments following a credit event in the region.

Keywords: Common long-run components; Sovereign linkages; Latin America; Sovereign international bonds; Portfolio adjustment weight. (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 2012-12-26
New Economics Papers: this item is included in nep-lam
References: Add references at CitEc
Citations:

Downloads: (external link)
http://dx.doi.org/10.1016/j.intfin.2012.08.002

Related works:
Journal Article: Modelling the sovereign linkages of key Latin American economies (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:dkn:ecomet:fe_2012_03

Access Statistics for this paper

More papers in Working Papers from Deakin University, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Xueli Tang ().