Identification of Driving Factors for Emerging Markets Sovereign Spreads
The objective of this paper is to identify the relationship between sovereign yield spreads and macroeconomic variables in emerging markets. We find that the correlation between spreads and GDP is negative. Real effective exchange rate depreciation enlarges spreads and increasing in risk aversion influences spreads. US treasury yields impact on spreads is changing over time. More recently lower US treasuries yields have driven spreads wider. Last commodity prices are associated with a reduction in emerging market debt spreads.
Volume (Year): 31 (2011)
Issue (Month): 3 ()
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- Robert A. Jarrow & David Lando & Fan Yu, 2008.
"Default Risk And Diversification: Theory And Empirical Implications,"
World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 19, pages 455-480
World Scientific Publishing Co. Pte. Ltd..
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- Jens Hilscher & Yves Nosbusch, 2010. "Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt," Review of Finance, European Finance Association, vol. 14(2), pages 235-262.
- Jens Hilscher & Yves Nosbusch, 2007. "Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt," Money Macro and Finance (MMF) Research Group Conference 2006 114, Money Macro and Finance Research Group, revised 24 Apr 2007.
- Alicia Garcia-Herrero & Alvaro Ortiz, 2006. "The Role of Global Risk Aversion in Explaining Sovereign Spreads," ECONOMIA JOURNAL OF THE LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION, ECONOMIA JOURNAL OF THE LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION, vol. 0(Fall 2006), pages 125-155, August. Full references (including those not matched with items on IDEAS)
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