Global monetary conditions versus country-specific factors in the determination of emerging market debt spreads
Paul Masson () and
Jean Jose Padou
Journal of International Money and Finance, 2008, vol. 27, issue 8, 1325-1336
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)
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Working Paper: Global monetary conditions versus country-specific factors in the determination of emerging market debt spreads (2005)
Working Paper: Global Monetary Conditions versus Country-Specific Factors in the Determination of Emerging Market Debt Spreads (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:27:y:2008:i:8:p:1325-1336
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