Risk spillovers between global corporations and Latin American sovereigns: global factors matter

Jose Gomez-Gonzalez, Jorge Uribe and Oscar Valencia ()

Applied Economics, 2023, vol. 55, issue 13, 1477-1496

Abstract: We study volatility spillovers between the corporate sector’s and Latin American countries’ CDS. Daily data from 14 October 2006 to 23 August 2021 are employed. Spillovers are computed both for the raw data and for filtered series, which factor out the effect of global common factors on the various CDS series. Results indicate that most spillovers occur within groups. However, considerable spillovers are also registered from LAC sovereigns to corporations and vice versa. Interesting differences are encountered between filtered and unfiltered data. Specifically, spillovers from countries to corporations are overestimated (in about 4.3% points) and spillovers from corporations to sovereigns are underestimated (in about 5.8% points) when unfiltered data is used. This result calls for a revision of results obtained from studies that do not consider the role of global common factors on system spillovers. Like in most related studies, spillovers show considerable time-variation, being larger during times of financial or economic distress. When looking at total system spillovers over time, those corresponding to unfiltered series are always larger than those corresponding to filtered series. The difference between the two time-series is largest in times of distress, indicating that global factors play a major role in times of crises.

Date: 2023
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2022.2097193 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Risk Spillovers between Global Corporations and Latin American Sovereigns: Global Factors Matter (2022)
Working Paper: Risk Spillovers between Global Corporations and Latin American Sovereigns: Global Factors Matter (2021)
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:taf:applec:v:55:y:2023:i:13:p:1477-1496

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2022.2097193

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().