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Previous issue date: 2011-05-30 / O objetivo deste trabalho é estimar os efeitos da crise financeira recente sobre os spreads dos títulos soberanos dos países emergentes. Os resultados corroboram a visão de que a atual crise financeira teve um impacto significativo sobre a percepção de risco dos países emergentes, elevando o prêmio de risco. A taxa de crescimento da economia, a taxa de câmbio real, as reservas internacionais, as dívidas interna e externa e o VIX também afetaram significativamente os spreads soberanos. Por fim, mostramos que a percepção de risco do Brasil foi menos afetada pela crise que nos demais países emergentes. / This study aims to estimate the effects of the recent economic crisis on the sovereign bonds spreads of emerging countries. The results support the view that the current financial crisis had a significant impact on the perception of emerging country risk, raising their risk premium. The economic growth rate, real exchange rate, international reserves, domestic and foreign debt and VIX also significantly affected the sovereign spreads. In addition, we also demonstrate that the perception of the Brazilian risk was less affected by the crisis than the remaining emerging countries.
| Identifer | oai:union.ndltd.org:IBICT/oai:bibliotecadigital.fgv.br:10438/9770 |
| Date | 30 May 2011 |
| Creators | Ferraz, Flávia Coelho Branco Junqueira |
| Contributors | Bonomo, Marco Antônio Cesar, Gaglianone, Wagner Piazza, Escolas::EPGE, FGV, Janot, Márcio Magalhães |
| Source Sets | IBICT Brazilian ETDs |
| Language | Portuguese |
| Detected Language | English |
| Type | info:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis |
| Source | reponame:Repositório Institucional do FGV, instname:Fundação Getulio Vargas, instacron:FGV |
| Rights | info:eu-repo/semantics/openAccess |
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