Estimating a Risky Term Structure of Uruguayan Sovereign Bonds
نویسندگان
چکیده
Based on a joint three factor a¢ ne model, we estimate the term structure of interest rates and default spreads for Uruguay using the reduced form approach developed by Du¢ e and Singleton. We nd that Uruguayan average term structure was negatively sloped between 1997 and 2003, as indicated by previous empirical evidence for low quality debtors. Surprisingly, Uruguayan average yield curve was also negatively sloped between 1997 and 2001, when the countrys foreign currency denominated debt was considered investment grade by the leading rating agencies. We also nd that the estimated Uruguayan default spread is able to capture the behavior and dynamics of a more traditional country risk benchmark such as the Uruguayan Bond Index (UBI), with observations on a single Uruguayan bond. Finally, we nd that regional, international and local nancial crises cause parallel shifts in the Uruguayan yield curve, with higher increases in short term rates, and that the banking and debt crises experienced by the country in 2002 had the biggest e¤ects on the average Uruguayan term structure. Resumen En base a un modelo lineal de tres factores, estimamos la estructura temporal de las tasas de interés y los spreads para Uruguay utilizando el enfoque de forma reducida desarrollado por Du¢ e y Singleton. Encontramos que la curva de rendimientos uruguaya fue en promedio descendente entre 1997 y 2003, como indica la evidencia empírica disponible para los deudores de baja calidad. Sorprendentemente, la curva de rendimientos promedio fue también descendente entre 1997 y 2001, cuando la deuda uruguaya en moneda extranjera era considerada con grado de inversión por parte de las principales agencias cali cadoras. Encontramos asimismo que los spreads estimados capturan el comportamiento y la dinámica de una medida más tradicional de riesgo país como es el Uruguayan Bond Index(UBI), con observaciones de un único bono uruguayo. Finalmente, hallamos que las crisis nancieras internacionales, regionales y locales provocan desplazamientos paralelos en la curva de rendimientos uruguaya, con mayores incrementos en los rendimientos de corto plazo, y que la crisis bancaria y de deuda que Uruguay atravesó en el año 2002 tuvo la mayor incidencia sobre la curva de rendimientos promedio. JEL Classi cation: C1, C51, F34, G12, G15.
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