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Determinants of Brazilian Sovereign Risk

From February 2016 until May 2017, the Brazilian sovereign risk – Brazil’s SCDS spreads declined sharply from 500 to 238 basis points. Using a linear regression and applying an error correction model, this article shows evidence that the global systematic component accounted for 69% of the daily changes of Brazil’s SCDS spreads in the period, while the remaining 31% were assigned to the internal idiosyncratic component.