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Relación dinámica entre los Credit Default Swaps y la deuda pública. Análisis en el contexto latinoamericano

Author

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  • Jeimy Lorena Martínez Arroyo
  • Nini Johana Marín Rodríguez

Abstract

Se analiza como los Credit Default Swaps (CDS) están relacionados con el riesgo soberano en Brasil, Chile, Colombia y México, durante el periodo 2010-2019. Se estiman modelos de correlación condicional dinámica (DCC) y pruebas de causalidad de Granger. Se encuentra una tendencia general decreciente en las correlaciones de los últimos anos de la muestra, lo cual puede ser explicado por una mejoría en la calificación de deuda soberana y una caída en riesgo de inversión en Colombia, Chile y Brasil. Además, los resultados empíricos evidencian que los CDS tienen influencia en el comportamiento de los bonos de deuda pública. ****** 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. ****** Analisa-se como os Credit Default Swaps (CDS) se relacionam com o risco soberano no Brasil, Chile, Colombia e Mexico, durante o periodo 2010-2019. Modelos de correlacao condicional dinamica (DCC) e testes de causalidade de Granger sao estimados. Observa-se uma tendencia decrescente geral nas correlacoes dos ultimos anos da amostra, que pode ser explicada por uma melhora no rating da divida soberana e uma queda no risco de investimento na Colombia, Chile e Brasil. Alem disso, os resultados empiricos mostram que os CDS influenciam o comportamiento dos titulos da divida publica.

Suggested Citation

  • Jeimy Lorena Martínez Arroyo & Nini Johana Marín Rodríguez, 2021. "Relación dinámica entre los Credit Default Swaps y la deuda pública. Análisis en el contexto latinoamericano," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, vol. 40(83), pages 583-608, August.
    • Handle: RePEc:col:000093:020180
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    References listed on IDEAS

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    More about this item

    Keywords

    credit default swaps; correlación condicional dinámica; derivados de crédito; deuda soberana; riesgo de crédito.;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

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