Global Factors and Emerging Market Spreads

Martín González Rozada and Eduardo Levy Yeyati
Authors registered in the RePEc Author Service: Martin Gonzalez-Rozada

No 1567, IDB Publications (Working Papers) from Inter-American Development Bank

Abstract: This paper shows that a large fraction of the variability of emerging market bond spreads is explained by the evolution of global factors such as risk appetite (as reflected in the spread of high yield corporate bonds in developed markets), global liquidity (measured by the international interest rates) and contagion (from systemic events like the Russian default). This link has remained relatively stable over the history of the emerging market class, is robust to the inclusion of country-specific factors, and helps provide accurate long-run predictions. Overall, the results highlight the critical role played by exogenous factors in the evolution of the borrowing cost faced by emerging economies.

Keywords: WP-552 (search for similar items in EconPapers)
Date: 2006-05
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Citations: View citations in EconPapers (7)

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Related works:
Journal Article: Global Factors and Emerging Market Spreads (2008)
Journal Article: Global Factors and Emerging Market Spreads (2008)
Working Paper: Global Factors and Emerging Market Spreads (2006)
Working Paper: Global Factors and Emerging Market Spreads (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:idb:brikps:1567

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