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Martínez Arroyo, J. L., & Marín Rodríguez, N. J. (2021). Dynamic relationship between Credit Default Swaps and sovereign debt. Analysis on the Latin- American context. Cuadernos de Economía, 40(83), 583-608 [Martínez Arroyo, J. L., & Marín Rodríguez, N. J. (2021). Relação dinâmica entre Credit Default Swaps e a dívida pública. Análise no contexto latino-americano. Cuadernos de Economía, 40(83), 583-608.] [Relación Dinámica Entre Los Credit Default Swaps Y La Deuda Pública. Análisis En El Contexto Latinoamericano]
| dc.contributor.author | Arroyo J.L.M | |
| dc.contributor.author | Rodríguez N.J.M. | |
| dc.date.accessioned | 2022-09-14T14:33:52Z | |
| dc.date.available | 2022-09-14T14:33:52Z | |
| dc.date.created | 2021 | |
| dc.identifier.issn | 1214772 | |
| dc.identifier.uri | http://hdl.handle.net/11407/7506 | |
| dc.description | We analyse how the Credit Default Swaps (CDS) are related to sovereign risk in Brazil, Chile, Colombia, and Mexico, during the period 2010-2019. Dynamic conditional correlation (DCC) models and Granger causality tests are estimated. There is a decreasing general trend in the correlations of the last years of the sample, which can be explained by an improvement in the sovereign debt credit rating and a fall in investment risk in Colombia, Chile, and Brazil. In addition, the empirical results show that the CDS influences the behaviour of public debt bonds © 2021,Cuadernos de Economia (Colombia).All Rights Reserved | eng |
| dc.language.iso | spa | |
| dc.publisher | Universidad Nacional de Colombia | |
| dc.relation.isversionof | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85115756179&doi=10.15446%2fcuad.econ.v40n83.81997&partnerID=40&md5=ea230f2153dc4b188536d2333addec8c | |
| dc.source | Cuadernos de Economia (Colombia) | |
| dc.title | Martínez Arroyo, J. L., & Marín Rodríguez, N. J. (2021). Dynamic relationship between Credit Default Swaps and sovereign debt. Analysis on the Latin- American context. Cuadernos de Economía, 40(83), 583-608 [Martínez Arroyo, J. L., & Marín Rodríguez, N. J. (2021). Relação dinâmica entre Credit Default Swaps e a dívida pública. Análise no contexto latino-americano. Cuadernos de Economía, 40(83), 583-608.] [Relación Dinámica Entre Los Credit Default Swaps Y La Deuda Pública. Análisis En El Contexto Latinoamericano] | |
| dc.type | Article | |
| dc.rights.accessrights | info:eu-repo/semantics/restrictedAccess | |
| dc.publisher.program | Ingeniería Financiera | |
| dc.type.spa | Artículo | |
| dc.identifier.doi | 10.15446/cuad.econ.v40n83.81997 | |
| dc.subject.keyword | Credit default swaps | eng |
| dc.subject.keyword | Credit derivatives | eng |
| dc.subject.keyword | Credit risk | eng |
| dc.subject.keyword | Dynamic conditional correlation | eng |
| dc.subject.keyword | Sovereign debt | eng |
| dc.relation.citationvolume | 40 | |
| dc.relation.citationissue | 83 | |
| dc.relation.citationstartpage | 583 | |
| dc.relation.citationendpage | 608 | |
| dc.publisher.faculty | Facultad de Ingenierías | |
| dc.affiliation | Arroyo, J.L.M., Universidad de Medellín, Suramericana S. A., Medellin, Colombia | |
| dc.affiliation | Rodríguez, N.J.M., Universidad de Medellín, Facultad de Ingeniería, Medellin, Colombia | |
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| dc.type.coar | http://purl.org/coar/resource_type/c_6501 | |
| dc.type.version | info:eu-repo/semantics/publishedVersion | |
| dc.type.driver | info:eu-repo/semantics/article | |
| dc.identifier.reponame | reponame:Repositorio Institucional Universidad de Medellín | |
| dc.identifier.repourl | repourl:https://repository.udem.edu.co/ | |
| dc.identifier.instname | instname:Universidad de Medellín |
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