Research Catalog

Title

Convergence and Divergence of Sovereign Bond Spreads [electronic resource]: Lessons From Latin America / Martin Grandes

Author

Grandes, Martin.

Publication

Paris : OECD Publishing, 2002.

Details

Description

50 p.; 21 x 29.7cm.

Summary

Latin American sovereign bonds represent a significant share of the emerging debt class (50 per cent by early 2001) and so have considerably shaped the dynamics of this market. Recent financial turmoil, contagion episodes and investors' renewed concerns with debt default call for a better understanding of sovereign bond pricing (spreads) and its determinants, either macro fundamentals, contagion or other external variables. This paper addresses two important questions not fully tackled in the existing literature: i) to what extent do permanent or transitory changes in fundamentals affect sovereign risk perception, i.e. default risk, once contagion is controlled for? ii) how can a relatively high and volatile spread be the cause of unsustainable public debt accumulation? In order to answer these questions, we estimate long-term structural equations to pin down country risk determinants for Argentina, Chile and Mexico, using a time series framework spanning 1994-2000. Unlike former ...

Series Statement

OECD Development Centre Working Papers, 1815-1949 ; no.200

Uniform Title

OECD Development Centre Working Papers, no.200.

Subject

Development

LCCN

10.1787/822657710540

OCLC

oecd-lib-004507

Author

Grandes, Martin.

Title

Convergence and Divergence of Sovereign Bond Spreads [electronic resource]: Lessons From Latin America / Martin Grandes

Imprint

Paris : OECD Publishing, 2002.

Series

OECD Development Centre Working Papers, 1815-1949 ; no.200

OECD Development Centre Working Papers, 1815-1949 ; no.200.

Connect to:

http://dx.doi.org/10.1787/822657710540

Indexed Term

Development

Other Standard Identifier

10.1787/822657710540 doi