US Rates and Emerging Markets Spreads

Eduardo Levy-Yeyati and Tomas Williams
Authors registered in the RePEc Author Service: Eduardo Levy Yeyati

Business School Working Papers from Universidad Torcuato Di Tella

Abstract: While many studies document the influence of global liquidity and risk aversion on emerging markets spreads, less is known about their link with the US yield curve –a point that becomes more relevant at today´s historically low US rates. In this note, we examine the channels through which emerging markets spreads could be affected by changes in the US Treasury curve, and their economic importance in light of realistic scenarios, accounting for the differential response from investment and non investment grade economies, and during periods of financial distress. We find that a UST curve steepening (e.g., due to an oversupply of Treasuries) represents a more important risk factor for emerging market spreads than a monetary policy tightening.

Pages: 12 pages
Date: 2010
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:udt:wpbsdt:2010-02

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