Emerging Market Yield Spreads: Domestic, External Determinants, and Volatility Spillovers
AbstractThis study examines the determinants of bond yield spreads for 22 emerging markets in the period 1998-2009. In addition to the usual EMBI index data from credit default swaps (CDS) are also used. Three sets of determinants are considered: domestic, external, and institutional factors. In addition, I consider the connection between volatility and bond yield spreads. Volatility, and central bank transparency, are two factors 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. Most notably, the global financial financial crisis did not impact yield spreads in Asia which suggests that, in a sense, bond markets in that region were decoupled from those in other parts of the world.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by The Rimini Centre for Economic Analysis in its series Working Paper Series with number 03_11.
Date of creation: Jan 2011
Date of revision:
emerging markets; yield spreads; volatility; transparency;
Other versions of this item:
- Siklos, Pierre L., 2011. "Emerging market yield spreads: Domestic, external determinants, and volatility spillovers," Global Finance Journal, Elsevier, vol. 22(2), pages 83-100.
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- F34 - International Economics - - International Finance - - - International Lending and Debt Problems
- F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-01-23 (All new papers)
- NEP-FMK-2011-01-23 (Financial Markets)
- NEP-IFN-2011-01-23 (International Finance)
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.:
- Alicia García-Herrero & Álvaro Ortiz, 2005.
"The role of global risk aversion in explaining Latin American sovereign spreads,"
Banco de Espaï¿½a Working Papers
0505, Banco de Espa�a.
- Alicia Garcia Herrero & Alvaro Ortiz, 2005. "The Role Of Global Risk Aversion In Explaining Latin American Sovereign Spreads," International Finance 0503005, EconWPA.
- Alicia Garcia Herrero & Alvaro Ortiz, 2004. "The Role Of Global Risk Aversion In Explaining Latin American Sovereign Spreads," International Finance 0408001, EconWPA.
- Comelli, Fabio, 2012. "Emerging market sovereign bond spreads: Estimation and back-testing," Emerging Markets Review, Elsevier, vol. 13(4), pages 598-625.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Roberto Patuelli).
If references are entirely missing, you can add them using this form.