Description

This paper analyzes the emerging economies sovereign spread, with emphasis on the impact of commodity prices. Using a panel data model, it tests the heterogeneity of this relationship, depending on the degree of exports concentration and distinguishes the impact of global activity on sovereign risk. The main results are that raw materials prices measured by the GSCI index has a significant impact on the sovereign spread, which is heterogeneous and it is reinforced through export concentration measured by the Herfindahl-Hirschmann index. Also, sovereign spreads responds to movements in global activity, captured by OCDE global leading indicator. These results are robust to the use of the share of raw materials over total exports replacing Herfindahl-Hirschmann and world industrial production replacing global leading indicator.