Emerging Market Yield Spreads: Domestic, External Determinants, and Volatility Spillovers
Pierre Siklos ()
Working Paper series from Rimini Centre for Economic Analysis
This study examines the determinants of bond yield spreads for 22 emerging markets in the period 1998-2009. In addition to the usual EMBI index data from credit default swaps (CDS) are also used. Three sets of determinants are considered: domestic, external, and institutional factors. In addition, I consider the connection between volatility and bond yield spreads. Volatility, and central bank transparency, are two factors common to all countries examined whereas clear idiosyncrasies are found according to whether emerging markets are in Latin and South America, Europe, Asia or Africa. Most notably, the global financial financial crisis did not impact yield spreads in Asia which suggests that, in a sense, bond markets in that region were decoupled from those in other parts of the world.
Keywords: emerging markets; yield spreads; volatility; transparency (search for similar items in EconPapers)
JEL-codes: G15 C2 F34 F44 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk and nep-ifn
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Journal Article: Emerging market yield spreads: Domestic, external determinants, and volatility spillovers (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:rim:rimwps:03_11
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