Bastourre, Diego; Carrera, Jorge; Ibarlucia, Javier; … - 2012
variables that, in principle, could simultaneously determine in opposite direction commodity prices and bonds spreads in … negative correlation between commodity prices and emerging market spreads. Moreover, the empirical FAVAR (Factor Augmented VAR … fact that commodity prices are one of the most relevant fundamentals of bond spreads of commodity exporters. In particular …