Sovereign bond spreads determinants in Latin American countries: Before and during the XXI financial crisis

Lisana B. Martinez, Antonio Terceño and Mercedes Teruel

Emerging Markets Review, 2013, vol. 17, issue C, 60-75

Abstract: This paper aims to identify the main determinants of sovereign bond spreads in seven Latin American countries and verify the existence of contagion effect over these markets during the last financial crisis. We apply a panel data framework and find that the inflation, terms of trade ratio and the external debt and international reserves (both as percentage of GDP) are key drivers of sovereign bond spreads. Moreover, we test the crisis impact over emerging economies. Our results show that the crisis has a statistically significant impact on the EMBIG spreads since 2008.

Keywords: Bond spreads; Financial crisis; EMBIG; Panel data (search for similar items in EconPapers)
JEL-codes: F34 G01 G15 H63 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (29)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:17:y:2013:i:c:p:60-75

DOI: 10.1016/j.ememar.2013.08.004

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