Global Factors and Emerging Market Spreads

Martin Gonzalez-Rozada and Eduardo Levy Yeyati

Economic Journal, 2008, vol. 118, issue 533, 1917-1936

Abstract: 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.

Date: 2008
References: Add references at CitEc
Citations: View citations in EconPapers (127)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
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 (2006)
Working Paper: Global Factors and Emerging Market Spreads (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecj:econjl:v:118:y:2008:i:533:p:1917-1936

Ordering information: This journal article can be ordered from
http://www.blackwell ... al.asp?ref=0013-0133

Access Statistics for this article

Economic Journal is currently edited by Martin Cripps, Steve Machin, Woulter den Haan, Andrea Galeotti, Rachel Griffith and Frederic Vermeulen

More articles in Economic Journal from Royal Economic Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().