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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. 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 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 Related Links Link Description Connect to published version (restricted access) Go to link with your DU access privileges     Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved. Versions Version Filter Type Fri, 14 Aug 2009, 13:50:59 EST Mon, 14 Dec 2009, 13:44:12 EST Mon, 14 Dec 2009, 13:45:09 EST Tue, 11 May 2010, 11:33:14 EST Tue, 11 May 2010, 11:34:59 EST Tue, 01 Jun 2010, 11:22:25 EST Wed, 16 Mar 2011, 11:23:19 EST Mon, 05 Mar 2012, 15:34:07 EST Filtered Full Citation counts: Cited 1 times in Scopus Search Google Scholar Access Statistics: 369 Abstract Views, 4 File Downloads  -  Detailed Statistics Created: Fri, 14 Aug 2009, 13:50:59 EST

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