Global Factors and Emerging Market Spreads

Bibliographic Data

ID9716528
AuthorsMartín González‐rozada (0000-0001-7460-7882, Universidad Torcuato Di Tella), Martín González-Rozada, Eduardo Levy Yeyati (Universidad Torcuato Di Tella)
Year2008
Volume118
Issue533
Pages1917-1936
Publication date2008-11-01
Peer ReviewedYes
Open AccessYes
TypeARTICLE
VenueThe Economic Journal (JOURNAL)
Journal identifiersISSN: 0013-0133 • E-ISSN: 1468-0297
PublisherOxford University Press (OUP) (PUBLISHER)
DOI10.1111/j.1468-0297.2008.02196.x
OpenAlexW3125429182
LanguageEN
Citations received7
References cited7

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. Copyright © The Author(s). Journal compilation © Royal Economic Society 2008

Economic history · Economics · Emerging markets · Management · Political science · Economic theories and models · Finance · Global Financial Crisis and Policies · Monetary Policy and Economic Impact

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