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Factores mundiales y diferenciales de intereses en mercados emergentes

Author

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  • Martín González Rozada
  • Eduardo Levy Yeyati

Abstract

(Disponible en idioma inglés únicamente) En este trabajo se muestra que buena parte del grado de variación de los diferenciales de intereses de los bonos de mercados emergentes obedece al desenvolvimiento de factores mundiales tales como la disposición a aceptar riesgos (según se aprecia en el diferencial de bonos empresariales de alto rendimiento de mercados desarrollados), liquidez mundial (medida por las tasas de interés internacionales) y el contagio (de acontecimientos sistémicos como el incumplimiento de Rusia). Este vínculo se ha mantenido relativamente estable a través de la historia de la clase de mercados emergentes, es robusto a la inclusión de factores específicos de los países y permite formular predicciones precisas de largo plazo. En general, los resultados resaltan el papel crítico que desempeñan los factores exógenos en el desenvolvimiento del costo del endeudamiento que encaran las economías emergentes.

Suggested Citation

  • Martín González Rozada & Eduardo Levy Yeyati, 2006. "Factores mundiales y diferenciales de intereses en mercados emergentes," Research Department Publications 4446, Inter-American Development Bank, Research Department.
    • Handle: RePEc:idb:wpaper:4446
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