Latin American Corporate Emerging Markets Bond Indices (CEMBIs): Their recent evolution

Francisco López-Herrera (), Roberto Santillán-Salgado () and Alejandra Cabello

Global Finance Journal, 2019, vol. 41, issue C, 104-112

Abstract: This paper studies the stochastic relationship among six Latin American countries' international bond issue risk premium. The analysis exploits a novel Corporate Emerging Markets Bond Indices (CEMBIs) database processed with a VAR-CCC model to clarify the nature of such relationships, and makes an objective interpretation of their characteristics. The countries included in the sample are Argentina, Brazil, Chile, Colombia, Mexico and Peru, and the daily observations period from May 14, 2014, through February 9, 2017. Our findings indicate that the CEMBI returns of Brazil and Mexico are the main influencers on the behavior of the other Latin American CEMBI returns. These insights are valuable to understand the diversification possibilities of CEMBI portfolios, and of interest to Latin American corporate financial managers who consider financing their firms with international bond issues, and for whom the risk premium paid by bond issues is the cost of funding.

Keywords: Emerging markets bonds; Risk premium; Corporate Emerging Market Bond Index (CEMBI); Latin American corporate bonds issues (search for similar items in EconPapers)
JEL-codes: G11 G12 G15 G28 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:41:y:2019:i:c:p:104-112

DOI: 10.1016/j.gfj.2019.03.002

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