Martin Grandes

Universidad de Buenos Aires | UBA · Economics Department

Es un hecho bien documentado por la teoría económica que la inflación alta y duradera tiene un efecto negativo en el crecimiento económico, pero que a medida que desciende los efectos sobre este último son no lineales. Este trabajo responde dos preguntas de investigación relacionadas a los trabajos que han estudiado esta relación empírica en las úl...

The objective of this paper is to empirically investigate the structural, financial, developmental, institutional, and macroeconomic determinants of bond market development for a sample of 22 emerging and developing countries over the period 1990-2013. We employ both the Prais-Winston and system GMM procedures to tackle the problems of endogeneity...

We exploit a panel of 72 US dollar-denominated bonds issued by Latin American publicly listed firms between 1996 and 2004, a period of regional financial crises, to answer the following three questions: 1) is sovereign risk an statistical and economically significant determinant of the corporate credit spread, controlling for firm and bond—specific...

The currency premium is one of the three components of the differential between local and foreign interest rates. Emerging economies such as South Africa typically face positive interest rate differentials, that is, a higher cost of capital than developed economies. In this chapter we aim at identifying the determinants of the South African rand–U....

This paper researches the sources of stock market risk influencing the pricing of 921 Latin American stocks and computes their corresponding opportunity cost (COE) over the period 1997-2004 by firm and sector. Running an adjusted version of the Capital Asset Pricing Model (CAPM) it finds that systematic risk accounts on average for more than 32% of...

Applying an extended version of the structural approach to pricing risky corporate debt, we look into the evolution and determinants of the cost of bond financing for Latin American firms. We use a dataset including 667 quarterly panel observations of Argentinean, Brazilian, Chilean and Mexican firms, with market and balance-sheet information in or...

This paper aims to identify the macroeconomic determinants of sovereign bond spreads in Argentina, Brazil and Mexico and discusses the economic policies underlying the divergent fortunes experienced by these countries over 1993-2001. Those determinants, namely real GDP growth, gross capital inflows and debt service burden (as a percentage of GDP),...

This paper suggests that the practical operation of the European Exchange Rate Mechanism (ERM) provides important lessons for authorities in developing countries struggling to implement sustainable exchange rate regimes to support economic convergence. These lessons are beginning to spread beyond the European continent, reaching in particular Argen...

In this paper we make two contributions to the empirical literature on asset pricing in emerging markets.First, we test the Fama and French three-factor model for a sample of 921 Latin American stocks over 1986-2004. Second, we elaborate a methodology to estimate the impact of firm-idiosyncratic variableson the excess returns not accounted for by C...

In this paper we make two contributions to the empirical literature on asset pricing in emerging markets. First, we test the Fama and French three-factor model for a sample of 921 Latin American stocks over 1986-2004. Second, we elaborate a methodology to estimate the impact of firm-idiosyncratic variables on the excess returns not accounted for by...

L’ère marquée par un impact unidirectionnel des politiques macroéconomiques des pays de l’OCDE sur les pays en développement est révolue. L’émergence de la Chine et de l’Inde sur la scène économique mondiale est plus manifeste que jamais. Les liens financiers transnationaux ne cessent de s’intensifier et de se multiplier tandis que le commerce et l...

En este trabajo se analiza la manera en que los regímenes cambiarios de Argentina, Brasil y México influyeron en el desempeño macroeconómico de esos países en el período 1994-2003. Mediante este análisis se intenta extraer conclusiones aplicables a los países de América Latina y otros con el fin de determinar si la elección de un régimen cambiario...

The aim of this paper is twofold. First, it applies standard Capital Asset Pricing Models (CAPM) to look into cross-section (at the firm and industry levels) and time series differences in the opportunity cost of equity (COE) across seven major Latin American countries. Using an unbalanced panel spanning monthly observations for about 921 publicly...

The era of unidirectional impacts of OECD country macroeconomic policies on developing countries is past. The emergence of China and India in the world economy is ever more evident. Cross-border financial links are ever more intense and leveraged. Trade and production are ever more integrated between OECD and developing countries.

Three novel macroeconomic policy challenges are discussed in this paper: the macroeconomic implications of China’s emergence; the implications of intensifying financial integration; and the interaction of Asia’s foreign exchange regime with monetary policy in the OECD area. First, China may now be regarded as a price maker on some international co...

. Lowering interest rates and, thus, the cost of borrowing in the rand zone (Lesotho, Namibia, Swaziland and South Africa) is a priority to promote investment and economic growth. . Local-currency interest rates in these countries are driven by those on rand-denominated transactions. Reducing the level and volatility of the rand premium would help...

. La réduction des taux d’intérêt et par conséquent des coûts de ?nancement dans la zone rand (Lesotho, Namibie, Swaziland et Afrique du Sud) est essentielle à la promotion de l’investissement et de la croissance économique. . Dans ces pays, les taux d’intérêt en monnaie locale dépendent de ceux qui s’appliquent aux transactions libellées en rands....

One of the priorities set out in the Capital Flows Initiative of the NEPAD is to increase private capital flows to Africa, whereby providing African economies with longterm affordable and sustainable resources to finance their development. In this respect, lower debt costs may be of utmost importance in boosting investment and future output growth...

In this paper we aim to answer the following two questions: 1) has the Common Monetary Area in Southern Africa (henceforth CMA) ever been an optimal currency area (OCA)? 2) What are the costs and benefits of the CMA for its participating countries? In order to answer these questions, we carry out a two-step econometric exercise based on the theory...

This paper deals with how the exchange-rate regime of Argentina and Mexico shaped macroeconomic performance over the period 1994-2001. The purpose of the analysis is to draw lessons for Latin American and other countries on whether and how the choice of the exchange-rate regime can help sustained growth. As it is impossible to isolate the growth ef...

The aim of this paper is to identify the macroeconomic determinants of sovereign bond spreads in Argentina, Brazil and Mexico and discuss the economic policies underlying the divergent fortunes experienced by these countries over 1993-2001. Based on a consistent theoretical framework (unlike a bulk of the former literature), we derive and empirical...

In order to make emerging markets less vulnerable to external shocks, exchange-rate corner solutions such as dollarisation have been proposed. One of the main arguments put forth by the dollarisation supporters is the expected decrease in sovereign spreads, as currency risk will no longer hold. According to this optimistic view, which also relies o...

Latin American sovereign bonds represent a significant share of the emerging debt class (50 per cent by early 2001) and so have considerably shaped the dynamics of this market. Recent financial turmoil, contagion episodes and investors’ renewed concerns with debt default call for a better understanding of sovereign bond pricing (spreads) and its de...

The opening of the capital account was one of the important structural reforms implemented by Argentina. This liberalization increased the linkage of the real economy with the changing conditions of the international financial markets. In particular, recent data show a clear relation between interest rates and the business cycle on the one hand, an...

Due to the substantial rise in the share of Emerging Markets (EM) in foreigncurrency debt markets during the nineties, country risk in EM has become an issue of increasing concern for both new bond issues and rescheduled non-performing loans. However, as recent episodes show, financial volatility has tended to leave those countries more prone to co...

The currency premium is one of the three components of the differential between local and foreign interest rates. Emerging economies such as South Africa typically face positive interest rate differentials, i.e., a higher cost of capital than developed economies. In this paper we aim at identifying the determinants of the South African rand-U.S. do...

This paper analyzes and quantifies the importance of sovereign risk in determining corporate yield spreads in emerging economies. It also investigates the extent to which the practice by rating agencies and banks of not rating companies higher than their sovereign ("country or sovereign ceiling") is reflected in the spreads of South African local-c...

This paper aims to identify the macroeconomic determinants of sovereign bond spreads in Argentina, Brazil and Mexico and discusses the economic policies underlying the divergent fortunes experienced by these countries over 1993-2001. Those determinants, namely real GDP growth, gross capital inflows and debt service burden (as a percentage of GDP),...