Emerging Market Spreads: Then Versus Now

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Emerging Market Spreads: Then Versus Now

Author Info

Paolo Mauro
Nathan Sussman
Yishay Yafeh

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Abstract

We analyze yield spreads on sovereign bonds issued by emerging markets, using modern data from the 1990s and newly collected historical data on bonds traded in London during 1870-1913, a previous era of global capital market integration. We show that spreads today comove across emerging markets to a significantly higher degree than they did in the historical sample. Moreover, sharp changes in spreads in the 1990s tend to be mostly related to global events, whereas they were primarily related to country-specific events in 1870-1913. Although we find that fundamentals comove somewhat more strongly today than they did in the past, we conjecture that today's investors pay less attention to country-specific events than their predecessors did. © 2001 the President and Fellows of Harvard College and the Massachusetts Institute of Technology

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Article provided by MIT Press in its journal The Quarterly Journal of Economics.

Volume (Year): 117 (2002)
Issue (Month): 2 (May)
Pages: 695-733
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Handle: RePEc:tpr:qjecon:v:117:y:2002:i:2:p:695-733

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Paper
- Paolo Mauro & Yishay Yafeh & Nathan Sussman, 2001. "Emerging Market Spreads: Then Versus Now," OFRC Working Papers Series 2001fe03, Oxford Financial Research Centre. [Downloadable!]
- Paolo Mauro & Nathan Sussman & Yishay Yafeh, . "Emerging Market Spreads: Then Versus Now," IMF Working Papers 00/190, International Monetary Fund.

References listed on IDEAS
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.:

Michael Bordo & Barry Eichengreen & Daniela Klingebiel & Maria Soledad Martinez-Peria, 2001. "Is the crisis problem growing more severe?," Economic Policy, CEPR, CES, MSH, vol. 16(32), pages 51-82, 04. [Downloadable!] (restricted)
Jahangir Aziz & Francesco Caramazza & Ranil Salgado, 2000. "Currency Crises - In Search of Common Elements," IMF Working Papers 00/67, International Monetary Fund.
Michael Bordo & Barry Eichengreen, 1999. "Is our Current International Economic Environment Unusually Crisis Prone?," RBA Annual Conference Volume, in: David Gruen & Luke Gower (ed.), Capital Flows and the International Financial System Reserve Bank of Australia. [Downloadable!]

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