Latin American Corporate Emerging Markets Bond Indices (CEMBIs): Their recent evolution

This paper studies the stochastic relationship among six Latin American countries' international bond issue risk premium. The analysis exploits a novel Corporate Emerging Markets Bond Indices (CEMBIs) database processed with a VAR-CCC model to clarify the nature of such relationships, and makes an objective interpretation of their characteristics. The countries included in the sample are Argentina, Brazil, Chile, Colombia, Mexico and Peru, and...