Emerging Market Spread Compression.

Despite recent turmoil, spreads on emerging market countries' sovereign bonds have fallen dramatically since mid-2002. Some have attributed the fall to improved economic fundamentals while others to ample global liquidity. The paper models spreads and attempts to empirically distinguish between...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Kodres, Laura E.
Otros Autores: Hartelius, Kristian, Kashiwase, Kenichiro
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Washington : International Monetary Fund, 2008.
Colección:IMF Working Papers.
Temas:
Bonds > Developing countries > Econometric models.
Liquidity (Economics) > Econometric models.
Credit ratings > Developing countries > Econometric models.
Liquidité (Économie politique) > Modèles économétriques.
Bonds > Econometric models
Liquidity (Economics) > Econometric models
Developing countries
Acceso en línea:Texto completo
Descripción
Sumario:Despite recent turmoil, spreads on emerging market countries' sovereign bonds have fallen dramatically since mid-2002. Some have attributed the fall to improved economic fundamentals while others to ample global liquidity. The paper models spreads and attempts to empirically distinguish between the two factors. The results indicate that fundamentals, as embedded in credit ratings, are very important, but that expectations of future U.S. interest rates and volatility in those expectations are also a key determinant of emerging market spreads.
Descripción Física:1 online resource (38 pages)
ISBN:9781451913255
1451913257

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