Efecto contagio entre los spread de los bonos soberanos de Brasil y de Colombia para el período 2001–2006

Abstract

The globalization had caused a continuous process of change in the financial markets that even allow speaking of financial globalization, fruit of the liberalization politicians and deregulation in this matter, and the incorporation of new financial products. On the other side, the investigation allows to identify the relationship that exists among the spread of the sovereign bonds of Colombia regarding the Spread of the sovereign bonds of Brazil, which ones let to assert that the globalization and particularly the financial one drives to that the problems of this nature originated in a country extend to other regions of the world, by means of what the academics have denominated contagion effect and spillover. The manifestations of these effects are analyzed through the evaluation of the monthly behavior of the rates of the sovereign bonds of Colombia and Brazil in the period 2001 - 2006. For the evaluation of the model is necessary to use the ADL (autoregressive distributed lags) methodology for the EMBI+ of both countries, as well as for the spreads of the bonds with maturity in Dec 2008 and 2027.