Emerging market sovereign bond spreads: Estimation and back-testing

Fabio Comelli

Emerging Markets Review, 2012, vol. 13, issue 4, 598-625

Abstract: We estimate sovereign bond spreads of 28 emerging economies over the period January 1998–December 2011 and test the ability of the model in generating accurate in-sample predictions for bond spreads. The impact and significance of explanatory variables on spreads vary across regions and periods. During crisis times, good macroeconomic indicators are helpful in containing spreads, but less than in non-crisis times, possibly reflecting the impact of extra-economic forces on spreads when a financial crisis occurs. For some economies, in-sample predictions of the monthly changes in spreads obtained with rolling regression routines are more accurate than those obtained with random guessing.

Keywords: Emerging economies; Sovereign bond yield spreads; In-sample forecasts (search for similar items in EconPapers)
JEL-codes: F37 G12 G17 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (66)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:13:y:2012:i:4:p:598-625

DOI: 10.1016/j.ememar.2012.09.002

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