The credit spread dynamics of Latin American euro issues in international bond markets

Thuraisamy, Kannan S., Gannon, Gerard L. and Batten, Jonathan A. 2008, The credit spread dynamics of Latin American euro issues in international bond markets, Journal of multinational financial management, vol. 18, no. 4, pp. 328-345.

Attached Files
Name Description MIMEType Size Downloads

Title The credit spread dynamics of Latin American euro issues in international bond markets
Author(s) Thuraisamy, Kannan S.
Gannon, Gerard L.
Batten, Jonathan A.
Journal name Journal of multinational financial management
Volume number 18
Issue number 4
Start page 328
End page 345
Total pages 18
Publisher Elsevier B.V.
Place of publication Amsterdam, The Netherlands
Publication date 2008-10
ISSN 1042-444X
Keyword(s) credit spreads
Latin America
long-run dynamics
sovereign bonds
structural models
Summary This paper investigates two important relationships using the sovereign issues made by major Latin American economies in the international bond market: the determinants of credit spread changes using variables derived from structural and macroeconomic theory and the impact of a default episode on the underlying equilibrium dynamics. We find four significant determinants of credit spread changes: an asset and interest rate factor—consistent with structural models of credit spread pricing; the exchange rate—consistent with macroeconomic determinants and the slope of the yield curve—consistent with a business cycle effect. Also, an intra-regional analysis of sovereign yields reveals a shift in the long-run equilibrium dynamics around the Argentine default on the 23 December 2001.
Language eng
Field of Research 140207 Financial Economics
HERDC Research category C1 Refereed article in a scholarly journal
Copyright notice ©2008, Elsevier B.V.
Persistent URL http://hdl.handle.net/10536/DRO/DU:30017219

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
Connect to link resolver
 
Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved.

Versions
Version Filter Type
Citation counts: Scopus Citation Count Cited 3 times in Scopus
Google Scholar Search Google Scholar
Access Statistics: 387 Abstract Views, 5 File Downloads  -  Detailed Statistics
Created: Fri, 14 Aug 2009, 13:50:59 EST

Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.