Term structure of sovereign spreads: a contingent claim model

Revista Brasileira de Economia

Katia Rocha²  Francisco A. Alcaraz Garcia¹  José Paulo Teixeira¹ 

[1] ,Pontifical Catholic University of Rio de Janeiro Industrial Engineering Department Institute for Applied Economic Research of the Brazilian GovernmentRio de Janeiro RJ ,Brazil

关键词: Emerging Markets;    Sovereign Spreads;    Structural Models;    Default Probability;   

DOI  :  10.1590/S0034-71402007000400005

来源: SciELO

【 摘 要 】

This paper proposes a simple structural model to estimate the termstructure and the implied default probability of a selected group of emerging countries, which account for 54% of the JPMorgan EMBIG index on average for the period 2000-2005. The real exchange rate dynamic, modeled as a pure diffusion process, is assumed to trigger default. The calibrated model generates sovereign spread curves consistent to market data. The results suggest that the market is systematically overpricing spreads for Brazil in 100 basis points, whereas for Mexico, Russia and Turkey the model is able to reproduce the market behavior.

【 授权许可】

CC BY   
 All the contents of this journal, except where otherwise noted, is licensed under a Creative Commons Attribution License