Country risk premium: theoretical determinants and empirical evidence for latin american countries
Autor(a) principal: | |
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Data de Publicação: | 1999 |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Revista Brasileira de Economia (Online) |
Texto Completo: | http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71401999000400003 |
Resumo: | This paper investigates the behavior of the country risk premium for Argentina, Brazil and Mexico, from June 1997 to September 1998. It shows that the level of country risk premium is determined by different factors: the US dollar bond market structure; restrictions on the acquisition of emerging market bonds imposed by developed nations regulators; the credit risk measured by the notion of implied risk-neutral probability default; the different ways agents react to country risk due to asymmetric and imperfect information. The empirical investigation shows: the worse the country credit rating, the greater is the impact on international borrowing cost, which implies that negative expectations have greater impact on lower rated Latin American nations' bonds; country risk yield spreads overreacted to changes in the US dollar interest rates in the sample period. |
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Country risk premium: theoretical determinants and empirical evidence for latin american countriescountry riskcredit riskinterest ratesemerging marketsLatin AmericaThis paper investigates the behavior of the country risk premium for Argentina, Brazil and Mexico, from June 1997 to September 1998. It shows that the level of country risk premium is determined by different factors: the US dollar bond market structure; restrictions on the acquisition of emerging market bonds imposed by developed nations regulators; the credit risk measured by the notion of implied risk-neutral probability default; the different ways agents react to country risk due to asymmetric and imperfect information. The empirical investigation shows: the worse the country credit rating, the greater is the impact on international borrowing cost, which implies that negative expectations have greater impact on lower rated Latin American nations' bonds; country risk yield spreads overreacted to changes in the US dollar interest rates in the sample period.Fundação Getúlio Vargas1999-12-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71401999000400003Revista Brasileira de Economia v.53 n.4 1999reponame:Revista Brasileira de Economia (Online)instname:Fundação Getulio Vargas (FGV)instacron:FGV10.1590/S0034-71401999000400003info:eu-repo/semantics/openAccessAronovich,Selmoeng2010-09-16T00:00:00Zoai:scielo:S0034-71401999000400003Revistahttp://bibliotecadigital.fgv.br/ojs/index.php/rbe/issue/archivehttps://old.scielo.br/oai/scielo-oai.php||rbe@fgv.br1806-91340034-7140opendoar:2010-09-16T00:00Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)false |
dc.title.none.fl_str_mv |
Country risk premium: theoretical determinants and empirical evidence for latin american countries |
title |
Country risk premium: theoretical determinants and empirical evidence for latin american countries |
spellingShingle |
Country risk premium: theoretical determinants and empirical evidence for latin american countries Aronovich,Selmo country risk credit risk interest rates emerging markets Latin America |
title_short |
Country risk premium: theoretical determinants and empirical evidence for latin american countries |
title_full |
Country risk premium: theoretical determinants and empirical evidence for latin american countries |
title_fullStr |
Country risk premium: theoretical determinants and empirical evidence for latin american countries |
title_full_unstemmed |
Country risk premium: theoretical determinants and empirical evidence for latin american countries |
title_sort |
Country risk premium: theoretical determinants and empirical evidence for latin american countries |
author |
Aronovich,Selmo |
author_facet |
Aronovich,Selmo |
author_role |
author |
dc.contributor.author.fl_str_mv |
Aronovich,Selmo |
dc.subject.por.fl_str_mv |
country risk credit risk interest rates emerging markets Latin America |
topic |
country risk credit risk interest rates emerging markets Latin America |
description |
This paper investigates the behavior of the country risk premium for Argentina, Brazil and Mexico, from June 1997 to September 1998. It shows that the level of country risk premium is determined by different factors: the US dollar bond market structure; restrictions on the acquisition of emerging market bonds imposed by developed nations regulators; the credit risk measured by the notion of implied risk-neutral probability default; the different ways agents react to country risk due to asymmetric and imperfect information. The empirical investigation shows: the worse the country credit rating, the greater is the impact on international borrowing cost, which implies that negative expectations have greater impact on lower rated Latin American nations' bonds; country risk yield spreads overreacted to changes in the US dollar interest rates in the sample period. |
publishDate |
1999 |
dc.date.none.fl_str_mv |
1999-12-01 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71401999000400003 |
url |
http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71401999000400003 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
10.1590/S0034-71401999000400003 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
text/html |
dc.publisher.none.fl_str_mv |
Fundação Getúlio Vargas |
publisher.none.fl_str_mv |
Fundação Getúlio Vargas |
dc.source.none.fl_str_mv |
Revista Brasileira de Economia v.53 n.4 1999 reponame:Revista Brasileira de Economia (Online) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
instname_str |
Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
reponame_str |
Revista Brasileira de Economia (Online) |
collection |
Revista Brasileira de Economia (Online) |
repository.name.fl_str_mv |
Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV) |
repository.mail.fl_str_mv |
||rbe@fgv.br |
_version_ |
1754115904371687424 |