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Emerging market debt: measuring credit quality and examining relative pricing

  • Cumby, Robert E.
  • Pastine, Tuvana

We investigate the pricing of ‘Brady’ bonds that are issued by the governments of five developing countries as part of debt and debt service reduction agreements. We first present a measure of credit quality that takes account of the individual features of each bond and is comparable across bonds, across issuers, and over time. We then examine the evolution of the credit quality of each debt instrument from 1990 until the beginning of 2000. Next, we present evidence of a profitable trading strategy that exploits the information contained in this measure of credit quality.

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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 20 (2001)
Issue (Month): 5 (October)
Pages: 591-609

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Handle: RePEc:eee:jimfin:v:20:y:2001:i:5:p:591-609
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30443

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