This paper develops a macro-finance model of the Brazilian economy and its sovereign debt markets that allows for domestic and international macroeconomic influences as well as swings in investor confidence. It finds significant evidence of common trends in the US and Brazilian economies and bond markets as well as spillover effects from US inflation and business cycles to the Brazilian economy. The US Fed Funds rate influences Brazilian sovereign spreads, as do Brazilian inflation and policy rates. The Brazilian confidence factor dominates the behavior of the spreads during periods of crisis and we find that it also has a powerful effect on the level and volatility of macroeconomic variables. These results suggest that the macro-finance approach could throw light upon the behavior of other economies that are troubled by sovereign risk.
{"title":"Modelling Sovereign Credit Spreads with International Macro-Factors: The Case of Brazil 1998–2009","authors":"Zhuoshi Liu, P. Spencer","doi":"10.2139/ssrn.2981719","DOIUrl":"https://doi.org/10.2139/ssrn.2981719","url":null,"abstract":"This paper develops a macro-finance model of the Brazilian economy and its sovereign debt markets that allows for domestic and international macroeconomic influences as well as swings in investor confidence. It finds significant evidence of common trends in the US and Brazilian economies and bond markets as well as spillover effects from US inflation and business cycles to the Brazilian economy. The US Fed Funds rate influences Brazilian sovereign spreads, as do Brazilian inflation and policy rates. The Brazilian confidence factor dominates the behavior of the spreads during periods of crisis and we find that it also has a powerful effect on the level and volatility of macroeconomic variables. These results suggest that the macro-finance approach could throw light upon the behavior of other economies that are troubled by sovereign risk.","PeriodicalId":246436,"journal":{"name":"ERN: Latin America & the Caribbean (Emerging Markets) (Topic)","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115624197","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Spanish Abstract: Se presenta evidencia empirica sobre el efecto de los anuncios macroeconomicos de la inflacion y el PIB en rendimientos y volatilidad diarios de los mercados accionarios de seis paises latinoamericanos, empleando modelos de series de tiempo univariadas. Los efectos hallados de los anuncios sobre los rendimientos solo son significativos y en la direccion esperada en inflacion para Colombia y Peru, y en PIB, para Chile. Sin embargo, tambien se encuentran efectos en dias anteriores y posteriores a los anuncios, contradiciendo la hipotesis de eficiencia de mercado. Ademas, los dias de anuncios de la inflacion estan asociados a mayor volatilidad, pero los del PIB a menor.English Abstract: This paper shows empirical evidence of the effect of macroeconomic announcements (inflation and GDP) on returns, volatility and trading activity for the stock markets of Argentina, Brazil, Chile, Colombia, Mexico and Peru, using daily univariate time series models. Significant contemporaneous effects were found only for Colombia and Peru during inflation announcements and for Chile during GDP announcements. On the other hand, lagged and lead effects from announcements were found in most of the cases, contradicting market efficiency. Besides, inflation announcements are associated to higher volatility whereas those of GDP are to lower volatility for most of the countries.
{"title":"Reacción De Los Mercados Accionarios Latinoamericanos a Los Anuncios Macroeconomicos (Latin-American Stock Market's Reaction to Macroeconomic Announcements )","authors":"Diego A. Agudelo, M. Alvarez, Yesica Osorno","doi":"10.2139/SSRN.2428495","DOIUrl":"https://doi.org/10.2139/SSRN.2428495","url":null,"abstract":"Spanish Abstract: Se presenta evidencia empirica sobre el efecto de los anuncios macroeconomicos de la inflacion y el PIB en rendimientos y volatilidad diarios de los mercados accionarios de seis paises latinoamericanos, empleando modelos de series de tiempo univariadas. Los efectos hallados de los anuncios sobre los rendimientos solo son significativos y en la direccion esperada en inflacion para Colombia y Peru, y en PIB, para Chile. Sin embargo, tambien se encuentran efectos en dias anteriores y posteriores a los anuncios, contradiciendo la hipotesis de eficiencia de mercado. Ademas, los dias de anuncios de la inflacion estan asociados a mayor volatilidad, pero los del PIB a menor.English Abstract: This paper shows empirical evidence of the effect of macroeconomic announcements (inflation and GDP) on returns, volatility and trading activity for the stock markets of Argentina, Brazil, Chile, Colombia, Mexico and Peru, using daily univariate time series models. Significant contemporaneous effects were found only for Colombia and Peru during inflation announcements and for Chile during GDP announcements. On the other hand, lagged and lead effects from announcements were found in most of the cases, contradicting market efficiency. Besides, inflation announcements are associated to higher volatility whereas those of GDP are to lower volatility for most of the countries.","PeriodicalId":246436,"journal":{"name":"ERN: Latin America & the Caribbean (Emerging Markets) (Topic)","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-07-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129626957","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This study investigates the degree of integration among stock markets in the Caribbean Single Market area by analyzing the pricing of cross listed stocks within the region. The results show that the law of one price is generally violated for cross-listed stocks and there is little integration among the stock markets. It also suggests that there are arbitrage opportunities for investors. This result is in contrast to the experience of other regions of the world that have sought to integrate their stock markets. Empirical studies of European markets generally confirm that the “law of one price” holds across markets with regard to multiple listed stocks
{"title":"Aspects of the Caribbean Single Market & Economy: How Integrated are Regional Stock Markets","authors":"C. Robinson","doi":"10.2139/ssrn.2845463","DOIUrl":"https://doi.org/10.2139/ssrn.2845463","url":null,"abstract":"This study investigates the degree of integration among stock markets in the Caribbean Single Market area by analyzing the pricing of cross listed stocks within the region. The results show that the law of one price is generally violated for cross-listed stocks and there is little integration among the stock markets. It also suggests that there are arbitrage opportunities for investors. This result is in contrast to the experience of other regions of the world that have sought to integrate their stock markets. Empirical studies of European markets generally confirm that the “law of one price” holds across markets with regard to multiple listed stocks","PeriodicalId":246436,"journal":{"name":"ERN: Latin America & the Caribbean (Emerging Markets) (Topic)","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123891305","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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