The international transmission of risk: Causal relations among developed and emerging countries’ term premia

Juan Andrés Espinosa-Torres, Jose Gomez-Gonzalez, Luis Melo-Velandia and José Fernando Moreno-Gutiérrez
Authors registered in the RePEc Author Service: José Fernando Moreno Gutiérrez () and Juan Andrés Espinosa Torres

Research in International Business and Finance, 2016, vol. 37, issue C, 646-654

Abstract: We study the effect of shocks to the United States government bonds term premium on Latin American government bonds term premia. For doing so, we compute dynamic multipliers. Our main findings indicate that Latin American countries’ term premia respond permanently to changes in United States term premium. However, impulse-response functions vary depending on the country and particular time-length for which premia are computed. Responses are larger for Brazil and Colombia. Mexico exhibits the lowest responses for the four economies in our study. We discuss some political economy implications of our main findings.

Keywords: Term premium; Sovereign risk; Latin America; Dynamic multipliers (search for similar items in EconPapers)
JEL-codes: C22 E43 F36 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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Related works:
Working Paper: The International Transmission of Risk: Causal Relations Among Developed and Emerging Countries’ Term Premia (2015)
Working Paper: The International Transmission of Risk: Causal Relations Among Developed and Emerging Countries’ Term Premia (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:37:y:2016:i:c:p:646-654

DOI: 10.1016/j.ribaf.2016.02.006

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