Juan Yacoub

Document Type

Honors Thesis


This study characterizes the effects of currency uncertainty on the market prices of sovereign and quasi-sovereign bonds denominated in U.S. dollars for ten Latin American emerging-market economies. Previous authors analyzing sovereign debt prices have generally focused on the nexus between macro fundamentals and sovereign debt pricing, as well as global factors like U.S. interest rates. The dynamic analysis here uses a two-step procedure, where currency uncertainty is measured in the first-step using the GARCH methodology, as pioneered by Engle (1982). Preliminary results show that increases in uncertainty may have significant effects on sovereign debt returns, with the direction of the effect potentially depending on the number of lags between volatility and prices. As one example, currency uncertainty unambiguously has a significant negative effect on prices for Colombia.

Publication Date






To view the content in your browser, please download Adobe Reader or, alternately,
you may Download the file to your hard drive.

NOTE: The latest versions of Adobe Reader do not support viewing PDF files within Firefox on Mac OS and if you are using a modern (Intel) Mac, there is no official plugin for viewing PDF files within the browser window.