The international transmission of risk : causal relations among developed and emerging countries' term premia

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Borradores de Economía; No. 869

Date published

2015-03-02

Date

2015-03-02

Authors

Espinosa-Torres, Juan Andrés
Gómez-González, José Eduardo
Melo-Velandia, Luis Fernando
Moreno-Gutiérrez, José Fernando

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ISBN

Document language

spa
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Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.

The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.

Abstract

We study the effect of shocks to the United States government bonds term premium on Latin American government bonds term premia. For doing so, we compute dynamic multipliers. Our main findings indicate that Latin American countries' term premia respond pe

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JEL Codes

E43 - Interest Rates: Determination, Term Structure, and Effects
F36 - Financial Aspects of Economic Integration
C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion processes

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Keywords

Keywords

Term premium , Sovereign risk , Latin America , Dynamic multipliers

Citation

URI

https://repositorio.banrep.gov.co/handle/20.500.12134/6158
 https://hdl.handle.net/20.500.12134/6158
 https://ideas.repec.org/p/bdr/borrec/869.html
 https://doi.org/10.32468/be.869

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Esta obra está bajo licencia internacional Creative Commons Reconocimiento-NoComercial 4.0.

Este documento ha sido depositado por parte de el(los) autor(es) bajo la siguiente constancia de depósito