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
Gómez-González, José Eduardo
Melo-Velandia, Luis Fernando
Moreno-Gutiérrez, José Fernando
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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
F36 - Financial Aspects of Economic Integration
C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion processes
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Keywords
América Latina, Prima a plazo, Riesgo soberano, Multiplicadores dinámicos
Keywords
Term premium, Sovereign risk, Latin America, Dynamic multipliers
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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