The international transmission of risk : causal relations among developed and emerging countries' term premia

Número: 
869
Publicado: 
Clasificación JEL: 
E43, F36, C22
Palabras clave: 
Term Premium, Sovereign Risk, Latin America, Dynamic Multipliers

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Ana María Iregui-Bohórquez, Ligia Alba Melo-Becerra, María Teresa Ramírez-Giraldo, Jorge Leonardo Rodríguez-Arenas

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