Abstract

GURROLA RIOS, Cesar  and  LOPEZ HERRERA, Francisco. Dynamics of macroeconomic risk and the credit spreads in Mexican companies. Investig. adm. [online]. 2009, vol.38, n.104, pp.27-41. ISSN 2448-7678.

This article presents empirical evidence of the relationship between domestic systematic risk, represented by key macroeconomic variables, and the behavior of credit spreads of main companies in the Mexican economy. The analysis is based on an extension of the model used in Gurrola and López (2009). The estimation results of the econometric model, show that the coefficients of the variables that explain the spread paid by the companies under study are statistically significant for almost all proposed risk factors, either in actual or lagged values. Evidence gathered suggests that the main risk factors that affect the credit spread of Mexican companies, are the evolution of money supply, exchange rate and exports.

Keywords : Credit Spread; Risk Premium; Systematic Risk.

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