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Global monetary conditions versus country-specific factors in the determination of emerging market debt spreads

Mansoor Dailami, Paul Masson () and Jean Jose Padou

Journal of International Money and Finance, 2008, vol. 27, issue 8, 1325-1336

Abstract: US interest rate policy is shown to have a significant influence on emerging market bond spreads, but it is important to allow for non-linearities: US interest rates affect secondary market spreads differently, depending on countries' debt levels. Moderate debtors suffer little impact from an increase in US interest rates, while a country close to the borderline of solvency would face a much steeper increase in its spread. A 200 basis points increase in US short-term interest rates would increase emerging market spreads by 6-65Â bps, depending on debt/GNI ratios.

Keywords: Emerging; markets; Interest; rate; spreads; US; monetary; policy (search for similar items in EconPapers)
Date: 2008
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Related works:
Working Paper: Global monetary conditions versus country-specific factors in the determination of emerging market debt spreads (2005) Downloads
Working Paper: Global Monetary Conditions versus Country-Specific Factors in the Determination of Emerging Market Debt Spreads (2005) Downloads
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