The role of country, regional and global market risks in the dynamics of Latin American yield spreads

Audzeyeva, Alena; Sc̣henk-Hoppé, Klaus Reiner

doi:10.1016/j.intfin.2010.06.001

Cited by 8 publications

(1 citation statement)

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“…Other studies find the market sentiment to be the key driver of sovereign bond spread, in particular, global risk aversion. As noted by Audzeyeva and Schenk-Hoppé (2010), the investor's sentiments significantly affect the bond spread. Similarly, Siklos (2011), highlight that the degree of investor's risk aversion is an important factor in explaining bond spread variations.…”

Section: Related Literaturementioning

confidence: 99%

The Determinants of Sovereign Risk Premium in African Countries

Mpapalika

Malikane

2019

JRFM

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This paper investigates the determinants of the sovereign risk premium in African countries. We employ the dynamic fixed effects model to determine the key drivers of sovereign bond spreads. Country-specific effects are fixed and the inclusion of dummy variables using the Bai–Perron multiple structural break test is significant at a 5% level. For robustness, the time-series generalized method of moments (GMM) is used where the null hypothesis of the Sargan Test of over-identifying restrictions (OIR) and the Arellano–Bond Test of no autocorrelation are not rejected. This implies that the instruments used are valid and relevant. In addition, there is no autocorrelation in the error terms. Our results show that the exchange rate, Money supply/GDP (M2/GDP) ratio, and trade are insignificant. Furthermore, our findings indicate that public debt/GDP ratio, GDP growth, inflation rate, foreign exchange reserves, commodity price, and market sentiment are significant at a 5% and 10% level.

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Section: Related Literaturementioning

confidence: 99%