Publicado:
Clasificación JEL:
C22, C58, G01, G15
Lo más reciente
Karina Acosta, Juliana Jaramillo-Echeverri, Daniel Lasso Jaramillo, Alejandro Sarasti-Sierra
Ligia Alba Melo-Becerra, Diego Vásquez-Escobar, María Isabel Alarcón-Obando, Giselle Tatiana Silva-Samudio
Juan José Ospina-Tejeiro, Jorge Enrique Ramos-Forero, David Camilo López-Valenzuela, Yurany Hernández-Turca, Nicolle Valentina Herrera-Pinto
Assessing the dynamics of risk premium measures and their relationship with macroeconomic fundamentals is essential for macroeconomic policymakers and market practitioners. This study analyzes the main determinants of sovereign credit default swaps (SCDS) in Latin America at different tenures, focusing on their volatility. Using a component generalized autoregressive conditional heteroskedasticity model, it decomposes volatility into permanent and transitory components. It finds that the permanent component of SCDS volatility in all tenures was higher and more persistent during the Global Financial Crisis than during the recent coronavirus shock.