‘How sovereign is sovereign credit risk?’ : a local rates approach

Fil: Rosselli, Armando. Universidad de San Andrés. Departamento de Economía; Argentina.

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Autor principal: Rosselli, Armando
Otros Autores: Sturzenegger, Federico
Formato: Tesis Tesis de maestría updatedVersion
Lenguaje:Inglés
Publicado: Universidad de San Andrés. Departamento de Economía 2022
Acceso en línea:http://hdl.handle.net/10908/22796
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Repositorio Digital - Universidad de San Andrés (UdeSa) de Universidad de San Andrés
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spelling I37-R143-10908-227962025-01-20T15:21:44Z ‘How sovereign is sovereign credit risk?’ : a local rates approach Rosselli, Armando Sturzenegger, Federico Fil: Rosselli, Armando. Universidad de San Andrés. Departamento de Economía; Argentina. This paper finds that a global component is materially strong in explaining local debt returns for a set of 12 Emerging Markets (EM) during a period rich in both idiosyncratic and systemic shocks (2005-2021). The first principal component (PC) explains 56% of return variance for the full sample and about 80% in some years. Similarly, when breaking down individual country returns based on global and idiosyncratic components, the fraction of the total variation explained by the global variable averages 0.86 across the 12 countries. A direct implication is that there is limited room for EM active investors (‘country pickers’) to outperform based solely on country fundamental analysis. Furthermore, the first PC is strongly related to global financial variables. That is, diversification benefits for passive cross-over investors to allocate in the EM local debt asset class are rather limited. This paper is an extension of Longstaff, Francis A., et al. "How sovereign is sovereign credit risk?." American Economic Journal: Macroeconomics (2011). Keywords: Emerging Markets, local debt, global, idiosynratic, country specific, portfolio management. 2022-11-09T15:30:34Z 2022-11-09T15:30:34Z 2022-06 Tesis info:eu-repo/semantics/masterThesis info:ar-repo/semantics/tesis de maestría info:eu-repo/semantics/updatedVersion Rosselli, A. (2022). ‘How sovereign is sovereign credit risk?’ : a local rates approach. [Tesis de maestría, Universidad de San Andrés. Departamento de Economía]. Repositorio Digital San Andrés. http://hdl.handle.net/10908/22796 http://hdl.handle.net/10908/22796 eng info:eu-repo/semantics/openAccess https://creativecommons.org/licenses/by-nc-nd/4.0/ application/pdf application/pdf Universidad de San Andrés. Departamento de Economía
institution Universidad de San Andrés
institution_str I-37
repository_str R-143
collection Repositorio Digital - Universidad de San Andrés (UdeSa)
language Inglés
description Fil: Rosselli, Armando. Universidad de San Andrés. Departamento de Economía; Argentina.
author2 Sturzenegger, Federico
author_facet Sturzenegger, Federico
Rosselli, Armando
format Tesis
Tesis de maestría
Tesis de maestría
updatedVersion
author Rosselli, Armando
spellingShingle Rosselli, Armando
‘How sovereign is sovereign credit risk?’ : a local rates approach
author_sort Rosselli, Armando
title ‘How sovereign is sovereign credit risk?’ : a local rates approach
title_short ‘How sovereign is sovereign credit risk?’ : a local rates approach
title_full ‘How sovereign is sovereign credit risk?’ : a local rates approach
title_fullStr ‘How sovereign is sovereign credit risk?’ : a local rates approach
title_full_unstemmed ‘How sovereign is sovereign credit risk?’ : a local rates approach
title_sort ‘how sovereign is sovereign credit risk?’ : a local rates approach
publisher Universidad de San Andrés. Departamento de Economía
publishDate 2022
url http://hdl.handle.net/10908/22796
work_keys_str_mv AT rosselliarmando howsovereignissovereigncreditriskalocalratesapproach
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