Abstract
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.© 2018, Facultad de Contaduría y Administración, Universidad Nacional Autónoma de México. All rights reserved. Publication of the article implies full assignment of property rights (copyright) in Journal of Contaduría y Administración. The publication mreserves the right to total or partial reproduction of the work in other print, electronic or any other alternative means, but always recognizing its responsibility.
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