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Determinants of Emerging Market Sovereign Bond Spreads Fundamentals vs Financial Stress

This paper analyses the determimants of emerging market sovereign bond spreads by examining the short and long-run effects of fundamental (macroeconomic) and temporary (financial market) factors on these spreads. During the current global financial and economic crisis, sovereign bond spreads widened...

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Bibliographic Details
Main Author: Petrova, Iva
Other Authors: Papaioannou, Michael, Bellas, Dimitri
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 2010
Series:IMF Working Papers
Subjects:
Fiscal Stance
Interest Rates
Sovereign Bonds
Finance
Fiscal Policy
Exports And Imports
General Financial Markets: General (includes Measurement And Data)
Investments: Bonds
International Economics
International Lending And Debt Problems
Debts, External
External Debt
Yield Curve
Emerging And Frontier Financial Markets
Bonds
Banks And Banking
Financial Services Industry
Macroeconomics
Interest Rates: Determination, Term Structure, And Effects
Investment & Securities
Finance: General
United States
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary:This paper analyses the determimants of emerging market sovereign bond spreads by examining the short and long-run effects of fundamental (macroeconomic) and temporary (financial market) factors on these spreads. During the current global financial and economic crisis, sovereign bond spreads widened dramatically for both developed and emerging market economies. This deterioration has widely been attributed to rapidly growing public debts and balance sheet risks. Our results indicate that in the long run, fundamentals are significant determinants of emerging market sovereign bond spreads, while in the short run, financial volatility is a more important determinant of sperads than fundamentals indicators
Physical Description:25 pages
ISBN:9781455210886

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