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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.

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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
Publisher Elsevier B.V.
Place of publication Amsterdam, The Netherlands
Publication date 2008-10
ISSN 1042-444X
1873-1309
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
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Created: Fri, 14 Aug 2009, 13:50:59 EST