Sovereign bond spreads determinants in Latin American countries: Before and during the XXI financial crisis |
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| Institution: | 1. Universitat Rovira i Virgili, Faculty of Economics and Business, Department of Business and Management, Avda Universitat, 1, 43204 Reus, Spain;2. Universitat Rovira i Virgili, Faculty of Economics and Business, Department of Economics, CREIP, Research Group of Industry and Territory, Avda Universitat, 1, 43204 Reus, Spain |
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| Abstract: | This paper aims to identify the main determinants of sovereign bond spreads in seven Latin American countries and verify the existence of contagion effect over these markets during the last financial crisis. We apply a panel data framework and find that the inflation, terms of trade ratio and the external debt and international reserves (both as percentage of GDP) are key drivers of sovereign bond spreads. Moreover, we test the crisis impact over emerging economies. Our results show that the crisis has a statistically significant impact on the EMBIG spreads since 2008. |
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