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Determinants of Emerging Market Spreads: Domestic, Global Factors, and Volatility

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  • Pierre L. Siklos

    (Wilfrid Laurier University)

Abstract

This study examines the determinants of bond yield spreads for 19 emerging markets in the period 1998-2006. In addition to the usual EMBI index data from credit default swaps (CDS) are also used. Three sources are defined: domestic, external (a particular external source), and global factors. In addition, I consider the connection between volatility and bond yield spreads. All factors are found to be statistically significant. However, volatility is the only factor 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.

Suggested Citation

  • Pierre L. Siklos, 2008. "Determinants of Emerging Market Spreads: Domestic, Global Factors, and Volatility," Working Papers 182008, Hong Kong Institute for Monetary Research.
    • Handle: RePEc:hkm:wpaper:182008
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    Cited by:

    1. Siklos, Pierre L., 2011. "Emerging market yield spreads: Domestic, external determinants, and volatility spillovers," Global Finance Journal, Elsevier, vol. 22(2), pages 83-100.
    2. Lee, Hei Wai & Xie, Yan Alice & Yau, Jot, 2011. "The impact of sovereign risk on bond duration: Evidence from Asian sovereign bond markets," International Review of Economics & Finance, Elsevier, vol. 20(3), pages 441-451, June.

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