Global Factors and Emerging Market Spreads  

Oleh:

Gonzalez-Rozada, Martin ; Yeyati, Eduardo Levy

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Economic Journal (EBSCO) vol. 118 no. 533 (Nov. 2008), page 1917.
Topik: Global Factors; Emerging Market; Market Debt
Fulltext: 1917.pdf (316.23KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE28.29 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This article shows that a large fraction of the time variability of emerging market bond spreads is explained by the evolution of global factors such as risk appetite, global liquidity and contagion from systemic events such as the Russian default. This link is robust to the inclusion of country-specific factors and helps to provide accurate long-run predictions. By contrast, changes in credit ratings appear to lag spread movements and elicit little additional effect on the pricing of emerging market debt. The results highlight the critical role played by exogenous factors in the evolution of borrowing costs faced by emerging economies.

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