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Emerging Market Spreads

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Author Info

  • Yishay Yafeh
  • Paolo Mauro
  • Nathan Sussman

Abstract

This paper analyzes yield spreads on sovereign debt issued by emerging markets using modern data from the 1990s and newly-collected historical data on debt traded in London during 1870–1913, a previous “golden era” for international capital market integration. Applying several empirical approaches, we show that the co-movement of spreads across emerging markets is higher today than it was in the historical sample. We also show that sharp changes in spreads today tend to be mostly related to global events, whereas country-specific events played a bigger role in 1870–1913. Although we find some evidence that economic fundamentals, too, co-move more strongly today than at that earlier time, our interpretation of the results is that today’s investors pay less attention to country-specific events than their predecessors did in 1870–1913.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 00/190.

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Length: 46
Date of creation: 01 Nov 2000
Date of revision:
Handle: RePEc:imf:imfwpa:00/190

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Related research

Keywords: Emerging markets; Bonds; brady bonds; bond; government bonds; bond yields; international capital; sovereign bonds; bond issues; sovereign bond; bond yield; capital market; international capital flows; capital flows; portfolio of bonds; capital markets; emerging market bonds; currency crises; international capital markets; capital inflows; market bond; bond issuance; bond prices; bond returns; financial markets; international financial statistics; capital outflows; capital market integration; eurobonds; private capital flows; corporate bonds; stock market; gross domestic product; international financial architecture; cost of capital; capital mobility; brady bond; term bonds; borderline financial crises; international financial markets; commercial bank loans; foreign securities; international capital market; international capital mobility; credit rating; private capital; currency crisis; movement of capital; long-term bonds; emerging market bond; asset markets; bond market; financial system; bond index; capital gain; international financial system; yields on bonds; bond spreads;

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