首页    期刊浏览 2024年12月01日 星期日
登录注册

文章基本信息

  • 标题:The role of global risk aversion in explaining Latin American sovereign spreads
  • 本地全文:下载
  • 作者:Alicia García-Herrero y Álvaro Ortiz
  • 期刊名称:Documentos de Trabajo / Banco de España
  • 印刷版ISSN:0213-2710
  • 电子版ISSN:1579-8666
  • 出版年度:2005
  • 卷号:1
  • 出版社:Banco de España
  • 摘要:

    This paper assesses empirically whether global risk aversion (GRA) and some if its determinants (US economic growth and the US long term interest rates) explain developments in Latin American sovereign spreads. We find that GRA is significant and positively related to Latin American sovereign spreads and that its impact varies across countries and over time. Chile, with a lower sovereign risk, is relatively more affected. The opposite is true for Argentina, Ecuador and Venezuela. In addition, the influence of GRA on spreads has risen since the Enron scandal. Finally, both an increase in US economic growth and US long term interest rates are found to reduce spreads while the opposite is true for US short term interest rates.

国家哲学社会科学文献中心版权所有