%0 Journal Article
%T The Determinants of Sovereign Bond Spreads: Theory and Facts from Latin America
%A MART¨ªN GRANDES
%J Cuadernos de Econom¨ªa
%D 2007
%I 
%X This paper aims to identify the macroeconomic determinants of sovereign bond spreads in Argentina, Brazil and Mexico and discusses the economic policies underlying the divergent fortunes experienced by these countries over 1993-2001. Those determinants, namely real GDP growth, gross capital inflows and debt service burden (as a percentage of GDP), are derived from a consistent theoretical framework and empirically tested. The econometric analysis suggests that a permanent change in these determinants has a more significant and robust impact on spreads than transitory shocks. It also points out that financial contagion or risk-aversion variables have a meaningful role in explaining sovereign spreads across Latin American countries Este trabajo se propone identificar los determinantes macroecon¨®micos de los spreads soberanos en Argentina, Brasil y M¨¦xico, as¨ª como discutir las pol¨ªticas econ¨®micas subyacentes a los distintos comportamientos registrados por dichos spreads durante el periodo 1993-2001. Los determinantes de los spreads soberanos -el PBI real y su crecimiento, los flujos brutos de capitales y el servicio de la deuda- se derivan de un marco te¨®rico consistente y se testean emp¨ªricamente utilizando t¨¦cnicas de series temporales. El an¨¢lisis econom¨¦trico sugiere que un cambio permanente en esos determinantes tiene un impacto m¨¢s significativo y robusto sobre los spreads que un cambio transitorio. Asimismo, se concluye que el contagio financiero o la aversi¨®n al riesgo son variables explicativas significativas
%K Sovereign Debt
%K Default Risk
%K Contagion
%K Latin America
%K Emerging Markets
%U http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0717-68212007000200002