Modelling the Sovereign Linkages of Key Latin American Economies Thuraisamy, Kannan and Gannon, Gerard 2012, Modelling the Sovereign Linkages of Key Latin American Economies, Deakin University, School of Accounting, Economics and Finance, Geelong, Vic.. Attached Files Name Description MIMEType Size Downloads Title Modelling the Sovereign Linkages of Key Latin American Economies Author(s) Thuraisamy, Kannan orcid.org/0000-0001-5164-5456 Gannon, Gerard Publication date 2012-12-26 Series School Working Paper - Financial Econometrics Series ; SWP 2012/3 Total pages 30 Publisher Deakin University, School of Accounting, Economics and Finance Place of publication Geelong, Vic. Keyword(s) G15 G12 Common long-run components Sovereign linkages Latin America Sovereign international bonds Portfolio adjustment weight. RePEc:dkn:ecomet:fe_2012_03 Summary This paper models the cross-market dynamics in an emerging market regional setting using a homogenous set of international sovereign bonds issued by key Latin American economies. We employ Johansen's and a modified three-step procedure, which generates portfolio adjustment weights while accounting for common volatility effects across markets. The bonds are grouped based upon maturities across different markets in the Latin American region. This paper provides insights into the nature of sovereign linkages of key Latin American markets generally, and sovereign international bonds with varying maturities more specifically. The empirical results also highlight the manner in which sovereign linkages evolve in Latin America and the required portfolio adjustments following a credit event in the region. Notes This working paper was later published in the journal 'Journal of International Financial Markets institutions and money' and is available on line: http://dx.doi.org/10.1016/j.intfin.2012.08.002 Language eng HERDC Research category CN.1 Other journal article Related work DU:30051827 Copyright notice ©2012, The Authors Persistent URL http://hdl.handle.net/10536/DRO/DU:30103291 Document type: Report Collections: Faculty of Business and Law RePEc Working Papers Related Links Link Description Connect to published journal article Go to link with your DU access privileges     Link to Related Work Modelling the sovereign linkages of key Latin American economies Journal Article (deposited 05-04-2013) Modelling the Sovereign Linkages of Key Latin American Economies Report (deposited 16-10-2017)   Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved. Versions Version Filter Type Mon, 16 Oct 2017, 09:54:50 EST Tue, 17 Oct 2017, 04:02:01 EST Tue, 17 Oct 2017, 05:05:52 EST Thu, 14 Dec 2017, 11:10:21 EST Thu, 14 Dec 2017, 11:15:31 EST Thu, 14 Dec 2017, 11:16:43 EST Thu, 14 Dec 2017, 11:24:09 EST Wed, 22 Aug 2018, 13:34:29 EST Filtered Full Citation counts:   Cited 0 times in TR Web of Science Cited 0 times in Scopus Search Google Scholar Access Statistics: 130 Abstract Views, 0 File Downloads  -  Detailed Statistics Created: Mon, 16 Oct 2017, 09:54:50 EST

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