Global monetary conditions versus country-specific factors in the determination of emerging market debt spreads
AbstractUS interest rate policy is shown to have a significant influence on emerging market bond spreads, but it is important to allow for non-linearities: US interest rates affect secondary market spreads differently, depending on countries' debt levels. Moderate debtors suffer little impact from an increase in US interest rates, while a country close to the borderline of solvency would face a much steeper increase in its spread. A 200 basis points increase in US short-term interest rates would increase emerging market spreads by 6-65Â bps, depending on debt/GNI ratios.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of International Money and Finance.
Volume (Year): 27 (2008)
Issue (Month): 8 (December)
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Web page: http://www.elsevier.com/locate/inca/30443
Emerging markets Interest rate spreads US monetary policy;
Other versions of this item:
- Dailami, Mansoor & Masson, Paul R. & Padou, Jean Jose, 2005. "Global monetary conditions versus country-specific factors in the determination of emerging market debt spreads," Policy Research Working Paper Series 3626, The World Bank.
- Mansoor Dailami & Paul Masson & Jean Jose Padou, 2005. "Global Monetary Conditions versus Country-Specific Factors in the Determination of Emerging Market Debt Spreads," International Finance 0506003, EconWPA.
- F3 - International Economics - - International Finance
- F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
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