haku: @author Yeyati, E.L. / yhteensä: 2
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| Tekijä: | Gonzalez-Rozada, M. Yeyati, E.L. |
| Otsikko: | Global factors and emerging market spreads |
| Lehti: | Economic Journal
2008 : NOV, VOL. 118:533, p. 1917-1936 |
| Asiasana: | emerging markets finance investments bond markets international |
| Vapaa asiasana: | markets spreads |
| Kieli: | eng |
| Tiivistelmä: | It is shown in this study that a large fraction of the time variability of emerging market (here as: emg-m.) bond spreads is explained by the evolution of global factors e.g. 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, helping to offer accurate long-run predictions. By contrast, changes in credit ratings seem to lag spread movements and evoke little additional effect on the pricing of emg-m. debt. The results highlight the critical role of exogenous factors. |
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