Emerging market yield spreads: Domestic, external determinants, and volatility spillovers
AbstractThis study examines the determinants of bond yield spreads for 22 emerging markets in the period 1998–2009. Several determinants are considered. In addition, I consider the connection between volatility and bond yield spreads. Volatility and central bank transparency are two factors common to all countries examined whereas clear idiosyncrasies are found according to whether emerging markets are in Latin and South America, Europe, Asia or Africa. Most notably, the global financial crisis raised yield spreads, except in Asia, which suggests that, in a sense, bond markets in that region were decoupled from those in other parts of the world.
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Bibliographic InfoArticle provided by Elsevier in its journal Global Finance Journal.
Volume (Year): 22 (2011)
Issue (Month): 2 ()
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Web page: http://www.elsevier.com/locate/inca/620162
Emerging markets; Yield spreads; Volatility; Transparency;
Other versions of this item:
- Pierre L. Siklos, 2011. "Emerging Market Yield Spreads: Domestic, External Determinants, and Volatility Spillovers," Working Paper Series 03_11, The Rimini Centre for Economic Analysis.
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- F34 - International Economics - - International Finance - - - International Lending and Debt Problems
- F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles
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- Alicia García-Herrero & Álvaro Ortiz, 2005.
"The role of global risk aversion in explaining Latin American sovereign spreads,"
Banco de Espaï¿½a Working Papers
0505, Banco de Espa�a.
- Alicia Garcia Herrero & Alvaro Ortiz, 2004. "The Role Of Global Risk Aversion In Explaining Latin American Sovereign Spreads," International Finance 0408001, EconWPA.
- Alicia Garcia Herrero & Alvaro Ortiz, 2005. "The Role Of Global Risk Aversion In Explaining Latin American Sovereign Spreads," International Finance 0503005, EconWPA.
- Comelli, Fabio, 2012. "Emerging market sovereign bond spreads: Estimation and back-testing," Emerging Markets Review, Elsevier, vol. 13(4), pages 598-625.
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