Identification of Driving Factors for Emerging Markets Sovereign Spreads

Edward Sun, Daniel Tenengauzer (), Ali Bastani () and Omid Rezania ()
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Daniel Tenengauzer: Bank of America Merrill Lynch New York, USA
Ali Bastani: Bank of America Merrill Lynch New York, USA
Omid Rezania: California Public Employees Retirement System Sacramento, USA

Economics Bulletin, 2011, vol. 31, issue 3, 2584-2592

Abstract: The objective of this paper is to identify the relationship between sovereign yield spreads and macroeconomic variables in emerging markets. We find that the correlation between spreads and GDP is negative. Real effective exchange rate depreciation enlarges spreads and increasing in risk aversion influences spreads. US treasury yields impact on spreads is changing over time. More recently lower US treasuries yields have driven spreads wider. Last commodity prices are associated with a reduction in emerging market debt spreads.

Keywords: Bond spread; Cointegration; Emerging market CDS; Sovereign bond (search for similar items in EconPapers)
JEL-codes: E4 F3 (search for similar items in EconPapers)
Date: 2011-09-09
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Citations: View citations in EconPapers (5)

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