Analysis of sovereign spreads sensitivity: another channel for domestic factors influence? / Análise da sensibilidade dos spreads soberanos: um canal indireto de influência de fatores domésticos?

AUTOR(ES)
DATA DE PUBLICAÇÃO

2007

RESUMO

This paper aims to analize the sensitivity of sovereign spreads to changes in the external environment. The object is to demonstrate that spread sensitivity varies among emerging markets and that part of the differences observed could be traced to discrepancies in their respective domestic fundamentals, which establish an indirect influence channel of fundamentals on the determination of country risk. Evidence suggests that metrics such as GDP growth rate, inflation rates and external solvency ratios affect the intensity of the response of sovereign spreads to changes in the external conditions. The conclusions of the present research corroborate the notion that countries profit directly from the implementation of good macroeconomic management practices, on the tenet that investors attach a substantial weighting to the quality of economic governance

ASSUNTO(S)

indirect channel economia spreads soberanos sensibilidade sensitivity sovereign spreads canal indireto

ACESSO AO ARTIGO

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