Risk Premia for Emerging Markets Bonds: Evidence from Brazilian Government Debt, 1996-2002

André Loureiro and Fernando Barbosa

No 85, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: The goal of this paper is to identify the determinants of the risk premium on Brazilian government debt traded in the emerging markets bonds. The empirical evidence presented does not reject the hypotheses that fiscal solvency and the size of the public debt affect the risk premium as measured by the spread over treasury securities of the Brazilian C-bond.

Date: 2004-05
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