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..

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Title Modelling the Sovereign Linkages of Key Latin American Economies
Author(s) Thuraisamy, KannanORCID iD for Thuraisamy, Kannan
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
Common long-run components
Sovereign linkages
Latin America
Sovereign international bonds
Portfolio adjustment weight.
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:
Language eng
HERDC Research category CN.1 Other journal article
Related work DU:30051827
Copyright notice ©2012, The Authors
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