Sovereign risk and the impact of crisis: evidence from Latin America

Batten, Jonathan A., Gannon, Gerard L. and Thuraisamy, Sivananthan 2017, Sovereign risk and the impact of crisis: evidence from Latin America, Journal of banking & finance, vol. 77, pp. 328-350, doi: 10.1016/j.jbankfin.2016.07.011.

Attached Files
Name Description MIMEType Size Downloads

Title Sovereign risk and the impact of crisis: evidence from Latin America
Author(s) Batten, Jonathan A.
Gannon, Gerard L.
Thuraisamy, SivananthanORCID iD for Thuraisamy, Sivananthan
Journal name Journal of banking & finance
Volume number 77
Start page 328
End page 350
Total pages 23
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2017-04
ISSN 0378-4266
Keyword(s) Argentine default
Global Financial Crisis
Latin America
sovereign bond markets
Summary We utilize the default by Argentina in 2001 and the Global Financial Crisis in 2008, as natural experiments, to monitor the complex interactions between sovereign bonds when subjected to endogenous and exogenous shocks. By forming pairs of Latin American sovereign bonds, bundled into similar maturity class, the analysis highlights the complex nature of risk shifting, and the temporal nature of the volatility transmission and sharing mechanisms in the lead up to, and after, a crisis period. The results show that shorter maturity groups and longer maturity groups behave in fundamentally different ways in terms of volatility transmission, while one or two leading countries act as regional benchmarks. The dynamics are consistent with temporal but segmented investor preferences, with the arrival of crisis contributing to a breakdown in the previous relationships. In addition, there is additional economic benefit from utilizing knowledge of the volatility structure underlying the historic transmission channels to improve the portfolio outcomes of market participants.
Language eng
DOI 10.1016/j.jbankfin.2016.07.011
Field of Research 150202 Financial Econometrics
0102 Applied Mathematics
1502 Banking, Finance And Investment
Socio Economic Objective 970115 Expanding Knowledge in Commerce
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2016, Elsevier
Persistent URL

Document type: Journal Article
Collections: Faculty of Business and Law
Department of Finance
Connect to link resolver
Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved.

Version Filter Type
Citation counts: TR Web of Science Citation Count  Cited 1 times in TR Web of Science
Scopus Citation Count Cited 1 times in Scopus
Google Scholar Search Google Scholar
Access Statistics: 177 Abstract Views, 1 File Downloads  -  Detailed Statistics
Created: Mon, 12 Sep 2016, 14:25:27 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