Emerging Market Spreads: Then Versus Now
AbstractThis 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 1870Ã¢â‚¬â€œ1913, a previous Ã¢â‚¬Å“golden eraÃ¢â‚¬Â 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 1870Ã¢â‚¬â€œ1913. Although we find some evidence that economic fundamentals, too, co-move more strongly today than at that time, our interpretation of the results is that today`s investors pay less attention to country-specific events than their predecessors did in 1870Ã¢â‚¬â€œ1913.
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Bibliographic InfoPaper provided by University of Oxford, Department of Economics in its series Economics Series Working Papers with number 2001-FE-03.
Date of creation: 01 Sep 2000
Date of revision:
Other versions of this item:
- Paolo Mauro & Yishay Yafeh & Nathan Sussman, 2001. "Emerging Market Spreads: Then Versus Now," OFRC Working Papers Series, Oxford Financial Research Centre 2001fe03, Oxford Financial Research Centre.
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