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The evolution and determinants of emerging market credit spreads in the 1990s

Citations

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Cited by:

  1. Felices, Guillermo & Grisse, Christian & Yang, Jing, 2009. "International financial transmission: emerging and mature markets," Bank of England working papers 373, Bank of England.
  2. Bratis, Theodoros & Laopodis, Nikiforos T. & Kouretas, Georgios P., 2015. "Creditor moral hazard during the EMU debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 122-135.
  3. Schuknecht, Ludger & von Hagen, Jürgen & Wolswijk, Guido, 2009. "Government risk premiums in the bond market: EMU and Canada," European Journal of Political Economy, Elsevier, vol. 25(3), pages 371-384, September.
  4. Thuraisamy, Kannan Sivananthan, 2014. "Intra-market sovereign linkages of key Latin American markets," Economic Systems, Elsevier, vol. 38(2), pages 140-160.
  5. Aristei, David & Martelli, Duccio, 2014. "Sovereign bond yield spreads and market sentiment and expectations: Empirical evidence from Euro area countries," Journal of Economics and Business, Elsevier, vol. 76(C), pages 55-84.
  6. Jeffrey A. Frankel, 2010. "Monetary Policy in Emerging Markets: A Survey," NBER Working Papers 16125, National Bureau of Economic Research, Inc.
  7. Erdal Özmen & Özge Doğanay Yaşar, 2015. "Emerging Markets Sovereign Bond Spreads, Credit Ratings and Global Financial Crisis," ERC Working Papers 1510, ERC - Economic Research Center, Middle East Technical University, revised Nov 2015.
  8. Özatay, Fatih & Özmen, Erdal & Sahinbeyoglu, Gülbin, 2009. "Emerging market sovereign spreads, global financial conditions and U.S. macroeconomic news," Economic Modelling, Elsevier, vol. 26(2), pages 526-531, March.
  9. Graciela Kaminsky & Sergio L. Schmukler, 2002. "Emerging Market Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns?," The World Bank Economic Review, World Bank, vol. 16(2), pages 171-195, August.
  10. Ms. Garima Vasishtha & Mr. Taimur Baig & Mr. Manmohan S. Kumar & Ms. Edda Zoli, 2006. "Fiscal and Monetary Nexus in Emerging Market Economies: How Does Debt Matter?," IMF Working Papers 2006/184, International Monetary Fund.
  11. Lizarazo, Sandra Valentina, 2013. "Default risk and risk averse international investors," Journal of International Economics, Elsevier, vol. 89(2), pages 317-330.
  12. Aït-Sahalia, Yacine & Laeven, Roger J.A. & Pelizzon, Loriana, 2014. "Mutual excitation in Eurozone sovereign CDS," Journal of Econometrics, Elsevier, vol. 183(2), pages 151-167.
  13. Philipp Maier & Garima Vasishtha, 2008. "Good Policies or Good Fortune: What Drives the Compression in Emerging Market Spreads?," Staff Working Papers 08-25, Bank of Canada.
  14. Frankel, Jeffrey, 2010. "Monetary Policy in Emerging Markets," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 25, pages 1439-1520, Elsevier.
  15. D. Maltritz & A. Bühn & S. Eichler, 2012. "Modelling country default risk as a latent variable: a multiple indicators multiple causes approach," Applied Economics, Taylor & Francis Journals, vol. 44(36), pages 4679-4688, December.
  16. repec:fgv:epgrbe:v:65:n:3:a:6 is not listed on IDEAS
  17. Marco Antônio F. de H. Cavalcanti & Christian Vonbun, 2007. "Reservas internacionais ótimas para o Brasil: uma análise simples de custo-benefício para o período 1999-2007," Discussion Papers 1315, Instituto de Pesquisa Econômica Aplicada - IPEA.
  18. Siklos, Pierre L., 2011. "Emerging market yield spreads: Domestic, external determinants, and volatility spillovers," Global Finance Journal, Elsevier, vol. 22(2), pages 83-100.
  19. Kady Keita & Mr. Gene L. Leon & Frederico Lima, 2019. "Do Financial Markets Value Quality of Fiscal Governance?," IMF Working Papers 2019/218, International Monetary Fund.
  20. De Bruyckere, Valerie & Gerhardt, Maria & Schepens, Glenn & Vander Vennet, Rudi, 2013. "Bank/sovereign risk spillovers in the European debt crisis," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4793-4809.
  21. Zhang, Wenlong & Zhang, Gaiyan & Helwege, Jean, 2022. "Cross country linkages and transmission of sovereign risk: Evidence from China’s credit default swaps," Journal of Financial Stability, Elsevier, vol. 58(C).
  22. Caporin, Massimiliano & Pelizzon, Loriana & Ravazzolo, Francesco & Rigobon, Roberto, 2018. "Measuring sovereign contagion in Europe," Journal of Financial Stability, Elsevier, vol. 34(C), pages 150-181.
  23. Audzeyeva, Alena & Schenk-Hoppé, Klaus Reiner, 2010. "The role of country, regional and global market risks in the dynamics of Latin American yield spreads," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(4), pages 404-422, October.
  24. Dumitru, Ana-Maria & Holden, Tom, 2017. "A Hawkes model of the transmission of European sovereign default risk," EconStor Conference Papers 168431, ZBW - Leibniz Information Centre for Economics.
  25. Bernoth, Kerstin & von Hagen, Jürgen & Schuknecht, Ludger, 2012. "Sovereign risk premiums in the European government bond market," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 975-995.
  26. Simon Gilchrist & Vivian Yue & Egon Zakrajšek, 2019. "U.S. Monetary Policy and International Bond Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(S1), pages 127-161, December.
  27. Sophie Brana & Delphine Lahet, 2005. "La propagation des crises financieres dans les pays emergents : la contagion est-elle discriminante ?," Economie Internationale, CEPII research center, issue 103, pages 73-96.
  28. Uribe, Martin & Yue, Vivian Z., 2006. "Country spreads and emerging countries: Who drives whom?," Journal of International Economics, Elsevier, vol. 69(1), pages 6-36, June.
  29. Schmukler, Sergio L. & Serven, Luis, 2002. "Pricing currency risk under currency boards," Journal of Development Economics, Elsevier, vol. 69(2), pages 367-391, December.
  30. Francis, Johanna L. & Aykut, Dilek & Tereanu, Eugen, 2014. "The cost of private debt over the credit cycle," Journal of International Money and Finance, Elsevier, vol. 41(C), pages 146-181.
  31. Dumitru, Ana-Maria & Holden, Thomas, 2019. "Quantifying the transmission of European sovereign default risk," EconStor Preprints 193632, ZBW - Leibniz Information Centre for Economics.
  32. Manfred Gärtner & Björn Griesbach & Florian Jung, 2011. "PIGS or Lambs? The European Sovereign Debt Crisis and the Role of Rating Agencies," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 17(3), pages 288-299, August.
  33. Maltritz, Dominik & Molchanov, Alexander, 2014. "Country credit risk determinants with model uncertainty," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 224-234.
  34. Dominik Maltritz & Andreas Buehn & Stefan Eichler, 2011. "Modeling country default risk as a latent variable: a Multiple Indicators Multiple Causes (MIMIC) approach," Post-Print hal-00730230, HAL.
  35. Rocha, Katia & Moreira, Ajax, 2010. "The role of domestic fundamentals on the economic vulnerability of emerging markets," Emerging Markets Review, Elsevier, vol. 11(2), pages 173-182, June.
  36. repec:zbw:bofitp:2013_022 is not listed on IDEAS
  37. Riedel, Christoph & Thuraisamy, Kannan S. & Wagner, Niklas, 2013. "Credit cycle dependent spread determinants in emerging sovereign debt markets," Emerging Markets Review, Elsevier, vol. 17(C), pages 209-223.
  38. Seppo Pynnonen & Warren Hogan & Jonathan Batten, 2006. "Modelling credit spreads on yen Eurobonds within an equilibrium correction framework," Applied Financial Economics, Taylor & Francis Journals, vol. 16(8), pages 583-606.
  39. Zalán Kocsis & Dénes Nagy, 2011. "Variance decomposition of sovereign CDS spreads," MNB Bulletin (discontinued), Magyar Nemzeti Bank (Central Bank of Hungary), vol. 6(3), pages 36-50, October.
  40. Comelli, Fabio, 2012. "Emerging market sovereign bond spreads: Estimation and back-testing," Emerging Markets Review, Elsevier, vol. 13(4), pages 598-625.
  41. Ciarlone, Alessio & Piselli, Paolo & Trebeschi, Giorgio, 2009. "Emerging markets' spreads and global financial conditions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(2), pages 222-239, April.
  42. Blommestein, Hans & Eijffinger, Sylvester & Qian, Zongxin, 2016. "Regime-dependent determinants of Euro area sovereign CDS spreads," Journal of Financial Stability, Elsevier, vol. 22(C), pages 10-21.
  43. Aras, Osman Nuri & Öztürk, Mustafa, 2018. "The Effect of the Macroeconomic Determinants on Sovereign Credit Rating of Turkey," MPRA Paper 86642, University Library of Munich, Germany.
  44. Ehouman, Yao Axel, 2021. "Dependence structure between oil price volatility and sovereign credit risk of oil exporters: Evidence using a copula approach," International Economics, Elsevier, vol. 168(C), pages 76-97.
  45. Montes, Gabriel Caldas & Tiberto, Bruno Pires, 2012. "Macroeconomic environment, country risk and stock market performance: Evidence for Brazil," Economic Modelling, Elsevier, vol. 29(5), pages 1666-1678.
  46. Andreas Rathgeber & David Rudolph & Stefan Stöckl, 2015. "Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads—an explanation by means of a quanto option," Review of Derivatives Research, Springer, vol. 18(2), pages 107-143, July.
  47. Galina Hale, 2003. "Bonds or Loans? The Effect of Macroeconomic Fundamentals," Yale School of Management Working Papers ysm343, Yale School of Management, revised 01 Apr 2007.
  48. Schmukler, Sergio L. & Serven, Luis, 2002. "Pricing currency risk : facts and puzzles from currency boards," Policy Research Working Paper Series 2815, The World Bank.
  49. 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.
  50. Clark, Ephraim & Kassimatis, Konstantinos, 2015. "Macroeconomic effects on emerging-markets sovereign credit spreads," Journal of Financial Stability, Elsevier, vol. 20(C), pages 1-13.
  51. Yap Chee Jin & Gannon Gerard, 2011. "Announcement Effect on the Credit Spreads of US Dollar Malaysian Bonds," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 14(03), pages 449-484.
  52. Wälti, Sébastien & Weder, Ghislaine, 2009. "Recovering from bond market distress: Good luck and good policy," Emerging Markets Review, Elsevier, vol. 10(1), pages 36-50, March.
  53. Yin-Wong Cheung & Risto Herrala, 2014. "China's Capital Controls: Through the Prism of Covered Interest Differentials," Pacific Economic Review, Wiley Blackwell, vol. 19(1), pages 112-134, February.
  54. Hee-Ryang Ra, 2008. "Dilution of Opportunity Cost Effect on the Demand for International Reserves in the High Reserve Era," Korean Economic Review, Korean Economic Association, vol. 24, pages 151-171.
  55. Adugna Olani, 2016. "Dynamic Capital Inflow Transmission Of Monetary Policy To Emerging Markets," Working Paper 1358, Economics Department, Queen's University.
  56. Menna Bizuneh & Menelik Geremew, 2021. "Assessing the Impact of Covid-19 Pandemic on Emerging Market Economies’ (EMEs) Sovereign Bond Risk Premium and Fiscal Solvency," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 47(4), pages 519-545, October.
  57. Sy, Amadou N. R., 2002. "Emerging market bond spreads and sovereign credit ratings: reconciling market views with economic fundamentals," Emerging Markets Review, Elsevier, vol. 3(4), pages 380-408, December.
  58. Souza-Sobrinho, Nelson F., 2011. "The Role of Interest Rates in the Brazilian Business Cycles," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 65(3), September.
  59. Ebner, André, 2009. "An empirical analysis on the determinants of CEE government bond spreads," Emerging Markets Review, Elsevier, vol. 10(2), pages 97-121, June.
  60. Yao Axel Ehouman, 2021. "Dependence structure between oil price volatility and sovereign credit risk of oil exporters : Evidence using a Copula Approach," Post-Print hal-03348410, HAL.
  61. Fathi Abid & Nader Naifar, 2006. "The Determinants Of Credit Default Swap Rates: An Explanatory Study," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(01), pages 23-42.
  62. Timmer, Yannick, 2018. "Emerging market corporate bond yields and monetary policy," Emerging Markets Review, Elsevier, vol. 36(C), pages 130-143.
  63. Mili, Medhi & Sahut, Jean-Michel & Teulon, Frédéric, 2018. "Modeling recovery rates of corporate defaulted bonds in developed and developing countries," Emerging Markets Review, Elsevier, vol. 36(C), pages 28-44.
  64. Özmen, Erdal & Doğanay Yaşar, Özge, 2016. "Emerging market sovereign bond spreads, credit ratings and global financial crisis," Economic Modelling, Elsevier, vol. 59(C), pages 93-101.
  65. Kady Keita & Gene Leon & Frederico Lima, 2021. "Do Financial Markets Value Quality of Fiscal Governance?," Open Economies Review, Springer, vol. 32(5), pages 907-931, November.
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