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Emerging market bond spreads and sovereign credit ratings: reconciling market views with economic fundamentals

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  • Sy, Amadou N. R.

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File URL: http://www.sciencedirect.com/science/article/B6W69-4771JK3-7/2/7bd64b568395528a31057a71777a4abe
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Bibliographic Info

Article provided by Elsevier in its journal Emerging Markets Review.

Volume (Year): 3 (2002)
Issue (Month): 4 (December)
Pages: 380-408

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Handle: RePEc:eee:ememar:v:3:y:2002:i:4:p:380-408

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Web page: http://www.elsevier.com/locate/inca/620356

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References

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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  1. Christian B. Mulder & Brieuc Monfort, 2000. "Using Credit Ratings for Capital Requirementson Lending to Emerging Market Economies," IMF Working Papers 00/69, International Monetary Fund.
  2. International Monetary Fund, 1996. "The Economic Content of Indicators of Developing Country Creditworthiness," IMF Working Papers 96/9, International Monetary Fund.
  3. Roberto Perrelli & Christian B. Mulder, 2001. "Foreign Currency Credit Ratings for Emerging Market Economies," IMF Working Papers 01/191, International Monetary Fund.
  4. Barry Eichengreen & Ashoka Mody, 1998. "What Explains Changing Spreads on Emerging-Market Debt: Fundamentals or Market Sentiment?," NBER Working Papers 6408, National Bureau of Economic Research, Inc.
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Cited by:
  1. Martinez, Lisana B. & Terceño, Antonio & Teruel, Mercedes, 2013. "Sovereign bond spreads determinants in Latin American countries: Before and during the XXI financial crisis," Emerging Markets Review, Elsevier, vol. 17(C), pages 60-75.
  2. Cheikh A. Gueye & Amadou N. R. Sy, 2010. "Beyond Aid," IMF Working Papers 10/140, International Monetary Fund.
  3. Eli M. Remolona & Michela Scatigna & Eliza Wu, 2008. "A ratings-based approach to measuring sovereign risk," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(1), pages 26-39.
  4. Julie Kozack, 2005. "Considerations in the Choice of the Appropriate Discount Rate for Evaluating Sovereign Debt Restructurings," IMF Policy Discussion Papers 05/09, International Monetary Fund.
  5. Sánchez, Elmer, 2013. "Grado de inversión y flujos de inversión directa extranjera a economías emergentes," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 26, pages 61-79.
  6. Al-Sakka, Rasha & ap Gwilym, Owain, 2009. "Heterogeneity of sovereign rating migrations in emerging countries," Emerging Markets Review, Elsevier, vol. 10(2), pages 151-165, June.
  7. Amadou N. R. Sy, 2003. "Rating the Rating Agencies," IMF Working Papers 03/122, International Monetary Fund.
  8. Felipe Jaque, 2004. "Emerging Market Economies: The Aftermath of Volatility Contagion in a Selection of Three Financial Crises," Working Papers Central Bank of Chile 305, Central Bank of Chile.
  9. Ercio Muñoz S., 2013. "Precio de Materias Primas y Spread Soberano en Economías Emergentes ¿Importa la Concentración de las Exportaciones?," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 16(1), pages 100-121, April.
  10. Laura E. Kodres & Kristian Hartelius & Kenichiro Kashiwase, 2008. "Emerging Market Spread Compression," IMF Working Papers 08/10, International Monetary Fund.
  11. Mauro, Paolo & Sussman, Nathan & Yafeh, Yishay, 2006. "Bloodshed or Reforms? The Determinants of Sovereign Bond Spreads in 1870-1913 and Today," CEPR Discussion Papers 5528, C.E.P.R. Discussion Papers.
  12. Eli M Remolona & Michela Scatigna & Eliza Wu, 2007. "Interpreting sovereign spreads," BIS Quarterly Review, Bank for International Settlements, March.
  13. Al-Sakka, Rasha & ap Gwilym, Owain, 2010. "Split sovereign ratings and rating migrations in emerging economies," Emerging Markets Review, Elsevier, vol. 11(2), pages 79-97, June.
  14. Steven A. Block & Burkhard N. Schrage & Paul M. Vaaler, 2003. "DEMOCRACY’S SPREAD: Elections and Sovereign Debt in Developing Countries," William Davidson Institute Working Papers Series 2003-575, William Davidson Institute at the University of Michigan.
  15. Comelli, Fabio, 2012. "Emerging market sovereign bond spreads: Estimation and back-testing," Emerging Markets Review, Elsevier, vol. 13(4), pages 598-625.
  16. Laura Valderrama & Wendell A. Samuel, 2006. "The Monetary Policy Regime and Banking Spreads in Barbados," IMF Working Papers 06/211, International Monetary Fund.
  17. Alsakka, Rasha & ap Gwilym, Owain, 2010. "Leads and lags in sovereign credit ratings," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2614-2626, November.
  18. Zalán Kocsis & Dénes Nagy, 2011. "Variance decomposition of sovereign CDS spreads," MNB Bulletin, Magyar Nemzeti Bank (the central bank of Hungary), vol. 6(3), pages 36-50, October.
  19. Sánchez, Elmer, 2013. "Grado de inversión y flujos de inversión directa extranjera a economías emergentes," Working Papers 2013-010, Banco Central de Reserva del Perú.
  20. Hammoudeh, Shawkat & Sari, Ramazan & Uzunkaya, Mehmet & Liu, Tengdong, 2013. "The dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 277-294.
  21. Liu, Lili & Tan, Kim Song, 2009. "Subnational credit ratings : a comparative review," Policy Research Working Paper Series 5013, The World Bank.

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