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 of last update
2015-03-02
Author
Espinosa-Torres, Juan Andrés
Gómez-González, José Eduardo
Melo-Velandia, Luis Fernando
Moreno-Gutiérrez, José Fernando
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.
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
JEL Codes
E43 - Interest Rates: Determination, Term Structure, and EffectsF36 - Financial Aspects of Economic IntegrationC22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion processes
Keywords
Term premium ; Sovereign risk ; Latin America ; Dynamic multipliers ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/6158
https://hdl.handle.net/20.500.12134/6158
https://doi.org/10.32468/be.869
https://ideas.repec.org/p/bdr/borrec/869.html
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This work is licensed under a Creative Commons Reconocimiento-NoComercial 4.0.This document has been deposited by the author (s) under the following certificate of deposit