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

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 af...

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Veröffentlicht in:	Emerging markets finance & trade 2015-09, Vol.51 (5), p.859-866
1. Verfasser:	Thuraisamy, Kannan S.
Format:	Artikel
Sprache:	eng
Schlagworte:	Bond issues Interest rates International markets Liquidity multivariate GARCH sovereign bonds Studies SYMPOSIUM ARTICLES term structure Volatility volatility dynamics
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description	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.
doi_str_mv	10.1080/1540496X.2015.1061377
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subjects	Bond issues Interest rates International markets Liquidity multivariate GARCH sovereign bonds Studies SYMPOSIUM ARTICLES term structure Volatility volatility dynamics
title	Volatility Dynamics in the Term Structure of Latin American Sovereign International Bonds
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