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Volatility Dynamics in the Term Structure of Latin American Sovereign International Bonds

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  • Kannan S. Thuraisamy

Abstract

We examine the nature of volatility dynamics in the term structure of sovereign bonds issued in international markets by major Latin American countries. Focusing only on the U.S. dollar–denominated sovereign international bonds, this study shows the heterogeneous nature of volatility effects that affect the term structure of individual countries in Latin America. Considering the significance of the Argentine credit event in the region, we also account for any change in dynamics following the Argentine default in 2001 by subsampling the pre- and postdefault windows. We also find some evidence of liquidity-driven volatility interaction in the term structure.

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  • Kannan S. Thuraisamy, 2015. "Volatility Dynamics in the Term Structure of Latin American Sovereign International Bonds," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 51(5), pages 859-866, September.
    • Handle: RePEc:mes:emfitr:v:51:y:2015:i:5:p:859-866
    DOI: 10.1080/1540496X.2015.1061377
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