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Emerging Market Yield Spreads: Domestic, External Determinants, and Volatility Spillovers

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  • Pierre L. Siklos

    ()
    (Wilfrid Laurier University and Viessmann European Research Centre, Waterloo, ON, Canada; The Rimini Centre for Economic Analysis (RCEA), Rimini, Italy)

Abstract

This 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.

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Bibliographic Info

Paper provided by The Rimini Centre for Economic Analysis in its series Working Paper Series with number 03_11.

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Date of creation: Jan 2011
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Handle: RePEc:rim:rimwps:03_11

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Keywords: emerging markets; yield spreads; volatility; transparency;

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  1. Alicia García-Herrero & Álvaro Ortiz, 2005. "The role of global risk aversion in explaining Latin American sovereign spreads," Banco de Espa�a Working Papers 0505, Banco de Espa�a.
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Cited by:
  1. Martinez, Lisana B. & Terceño, Antonio & Teruel, Mercedes, 2013. "Sovereign bond spreads determinants in Latin American countries: Before and during the XXI financial crisis," Emerging Markets Review, Elsevier, vol. 17(C), pages 60-75.
  2. Lee, Yen-Hsien & Tucker, Alan L. & Wang, David K. & Pao, Hsin-Ting, 2014. "Global contagion of market sentiment during the US subprime crisis," Global Finance Journal, Elsevier, vol. 25(1), pages 17-26.
  3. Comelli, Fabio, 2012. "Emerging market sovereign bond spreads: Estimation and back-testing," Emerging Markets Review, Elsevier, vol. 13(4), pages 598-625.

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