If you are experiencing problems downloading PDF or HTML fulltext, our helpdesk recommend clearing your browser cache and trying again. If you need help in clearing your cache, please click here . Still need help? Email help@ingentaconnect.com

Risks of Latin America sovereign debts before and after the financial crisis

$54.78 plus tax (Refund Policy)

Buy Article:

Abstract:

We investigate the financial determinants of the return and volatility of sovereign CDS spread from six major Latin American countries before and after the bankruptcy of Lehman Brothers. Other than CBOE VIX index, we also find that global factors including US Baa–Aaa default yield, TED spread and US Treasury rate all contribute to the changes in these sovereign CDS spread. Although global risk aversion (VIX) is a significant determinant of sovereign debt spread, in the years after the crisis, the emphasis has shifted towards short-term refinancing risk (TED). Furthermore, the risk of Greek sovereign debt crisis also transmitted Latin American CDS spreads immediately, but only in the post-Lehman sub-period. These findings provide implications for international bonds and credit derivatives trading strategies.

Keywords: CDS; G10; G14; G15; GARCH; VIX; sovereign debt

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/00036846.2014.881976

Affiliations: 1: Department of Accounting, National Cheng Kung University, Tainan, 70101, Taiwan 2: Department of Finance, Hainan University, Haikou, 570288, China

Publication date: May 13, 2014

More about this publication?
Related content

Share Content

Access Key

Free Content
Free content
New Content
New content
Open Access Content
Open access content
Subscribed Content
Subscribed content
Free Trial Content
Free trial content
Cookie Policy
X
Cookie Policy
ingentaconnect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more