The Term Structure of Sovereign Spreads in Emerging Markets

Rocha, Katia; Garcia, Francisco A. Alcaraz

doi:10.3905/jfi.2005.491112

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Cited by 10 publications

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“…Hui and Lo (2002) price US dollar-denominated bonds sold by the Republic of Korea and Brazilian governments with a model in which the nominal exchange rate signals default. Rocha and Alcaraz Garcia (2005) propose a similar model in which signaling for default depends on the real exchange rate, and apply the model to price Brazilian, Mexican, Russian, and Turkish sovereign bonds. While all of these models allow for stochastic interest rates using mainly the Cox-Ingersoll-Ross (CIR) model from 1985, the correlation between the signal and interest rates is assumed to be zero.…”

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confidence: 99%