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]
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Universidad Nacional de Colombia
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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