Abstract

GURROLA RIOS, César  and  LOPEZ HERRERA, Francisco. Private debt spreads and systematic risk in Mexico. Contad. Adm [online]. 2009, n.229, pp. 59-84. ISSN 0186-1042.

This paper offers empirical evidence about the behavior of the risk premium (spread) on debt of Mexican firms as a result of systematic risk in Mexico, captured by the dynamics of local macroeconomic variables. We posit an alternative methodology to measure such risk premia, which depends only on data available for any firm. The result of the dynamic econometric model specified, show that all the risk factors proposed, either in current or lagged values, are relevant to explain the behavior of risk premia on debt for firms in this study. These premia are determined primarily by the evolution of imports and the exchange rate, which respectively impact the 100% and 96.43% of the analyzed firms. The less significant risk factors are exports and oil prices dynamics which impact 89.29% and 78.57% of the sample, respectively.

Keywords : credit spread; risk premium; systematic risk.