Risks of Latin America sovereign debts before and after the financial crisis

Tse-Shih Wang, Chengxue Yao

研究成果: Article同行評審

8 引文 斯高帕斯(Scopus)

摘要

We investigate the financial determinants of the return and volatility of sovereign CDS spread from six major Latin American countries before and after the bankruptcy of Lehman Brothers. Other than CBOE VIX index, we also find that global factors including US Baa-Aaa default yield, TED spread and US Treasury rate all contribute to the changes in these sovereign CDS spread. Although global risk aversion (VIX) is a significant determinant of sovereign debt spread, in the years after the crisis, the emphasis has shifted towards short-term refinancing risk (TED). Furthermore, the risk of Greek sovereign debt crisis also transmitted Latin American CDS spreads immediately, but only in the post-Lehman sub-period. These findings provide implications for international bonds and credit derivatives trading strategies.

原文English
頁(從 - 到)1665-1676
頁數12
期刊Applied Economics
46
發行號14
DOIs
出版狀態Published - 2014 2月 25

All Science Journal Classification (ASJC) codes

  • 經濟學與計量經濟學

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