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Emerging market sovereign bond spreads : estimation and back-testing /
We estimate sovereign bond spreads of 28 emerging economies over the period January 1998-December 2011 and test the ability of the model in generating accurate in-sample predictions for emerging economies bond spreads. The impact and significance of country-specific and global explanatory variables...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Place of publication not identified] :
International Monetary Fund,
2012.
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| Colección: | IMF working paper ;
WP/12/212. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | We estimate sovereign bond spreads of 28 emerging economies over the period January 1998-December 2011 and test the ability of the model in generating accurate in-sample predictions for emerging economies bond spreads. The impact and significance of country-specific and global explanatory variables on bond spreads varies across regions, as well as economic periods. During crisis times, good macroeconomic fundamentals are helpful in containing bond spreads, but less than in non-crisis times, possibly reflecting the impact of extra-economic forces on bond spreads when a financial crisis occurs. |
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| Descripción Física: | 1 online resource : illustrations |
| Bibliografía: | Includes bibliographical references. |
| ISBN: | 1475542526 9781475542523 9781475514315 147551431X 1475505620 9781475505627 1475510373 9781475510379 |