This paper examines the Brady bond market of two largest Latin American economies, Mexico and Brazil. Results indicate that stripped yield of each market in the very near future is determined primarily by the past yields in the respective markets. However, over a longer-term horizon the interrelationships between the bond markets and the stock markets of the two countries become important. Future yields in the Mexican bond market are affected by the current returns in the Mexican stock market, and to a certain extent the yields in the Brazilian bond market. A significant portion of the future variation in the Brazilian bond market yield is explained by current variation of the yield in Mexican bond market and the returns in the Mexican stock market. The Brazilian stock market returns play a negligible role in either bond markets.