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Relación dinámica entre los Credit Default Swaps y la deuda pública. Análisis en el contexto latinoamericano
Dynamic relationship between Credit Default Swaps and sovereign debt: analysis on the Latin-American context
Relação dinâmica entre Credit Default Swaps e a dívida pública. Análise no contexto latino-americano
DOI:
https://doi.org/10.15446/cuad.econ.v40n83.81997Palabras clave:
Credit Default Swaps, Correlación Condicional Dinámica, derivados de crédito, deuda soberana, riesgo de crédito (es)credit default swaps, correlação condicional dinâmica, derivados de crédito, dívida soberana, risco de crédito (pt)
Credit default swaps, credit derivatives, credit risk, dynamic conditional correlation, sovereign debt (en)
Se analiza cómo los Credit Default Swaps (CDS) están relacionados con el riesgo soberano en Brasil, Chile, Colombia y México, durante el período 2010-2019. Se estiman modelos de correlación condicional dinámica (DCC) y pruebas de causalidad de Granger. Se encuentra una tendencia general decreciente en las correlaciones de los últimos años de la muestra, lo cual puede ser explicado por una mejoría en la calificación de deuda soberana y una caída en riesgo de inversión en Colombia, Chile y Brasil. Además, los resultados empíricos evidencian que los CDS tienen influencia en el comportamiento de los bonos de deuda pública.
Credit Default Swaps (CDS) on public external debt can be used as a proxy for sovereign risk. This study analyzes how the behavior of the CDS is related to sovereign risk in the period 2010-2019 for Colombia, Chile, Brazil, and Mexico. Thus, the dynamic conditional correlation (DCC) model and the Granger causality test are used. It is found that there is a dynamic conditional correlation between these two instruments. Also, there is Granger causality given by the CDS for the bonds, that is, that the CDS has some influence on the bonds' behavior; presenting the bidirectional causality (the bonds have some influence of the CDS behavior), for Brazil, Chile, and Colombia. Besides, the DCC estimates shows a considerable variation in the correlations, where the general trend is decreasing, with negative correlations in the sample last years, which can be explained by an improvement in the rating and an investment risk fall in Colombia, Chile and Brazil, exhibiting Chile the lowest volatility due to its good rating and Mexico a stable volatility with conditional correlations close to 0%, reflecting a desired behavior of the price of the bonds.
Analisa-se como os Credit Default Swaps (CDS) se relacionam com o risco soberano no Brasil, Chile, Colômbia e México, durante o período 2010-2019. Modelos de correlação condicional dinâmica (DCC) e testes de causalidade de Granger são estimados. Observa-se uma tendência decrescente geral nas correlações dos últimos anos da amostra, que pode ser explicada por uma melhora no rating da dívida soberana e uma queda no risco de investimento na Colômbia, Chile e Brasil. Além disso, os resultados empíricos mostram que os CDS influenciam o comportamento dos títulos da dívida pública.
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