Global Factors and Emerging Market Spreads

Eduardo Levy Yeyati and Martin Gonzalez-Rozada

Business School Working Papers from Universidad Torcuato Di Tella

Abstract: This paper shows that a large fraction of the variability of emerging market bond spreads is explained by the evolution of global factors such as risk appetite (as reflected in the spread of high yield corporate bonds in developed markets), global liquidity (measured by the international interest rates) and contagion (from systemic events like the Russian default). This link has remained relatively stable over the history of the emerging market class, is robust to the inclusion of country-specific factors, and helps provide accurate long-run predictions. Overall, the results highlight the critical role played by exogenous factors in the evolution of the borrowing cost faced by emerging economies.

Pages: 47 pages
Date: 2005
New Economics Papers: this item is included in nep-cfn and nep-fmk
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Citations: View citations in EconPapers (27)

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http://www.utdt.edu/departamentos/empresarial/cif/pdfs-wp/wpcif-072005.pdf (application/pdf)

Related works:
Journal Article: Global Factors and Emerging Market Spreads (2008)
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)
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Persistent link: https://EconPapers.repec.org/RePEc:udt:wpbsdt:globalfactorsspreads

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