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How Does U.S. Monetary Policy Influence Sovereign Spreads in Emerging Markets?

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  • Vivek Arora

    (International Monetary Fund)

  • Martin Cerisola

    (International Monetary Fund)

Abstract

This paper quantifies the impact of changes in U.S. monetary policy on sovereign bond spreads in emerging market countries. Specifically, the paper explores empirically how country risk, as proxied by sovereign bond spreads, is influenced by U.S. monetary policy, country-specific fundamentals, and conditions in global capital markets. While country-specific fundamentals are important in explaining fluctuations in country risk, the stance and predictability of U.S. monetary policy are also important for stabilizing capital flows and capital market conditions in emerging markets. Copyright 2002, International Monetary Fund

Suggested Citation

  • Vivek Arora & Martin Cerisola, 2001. "How Does U.S. Monetary Policy Influence Sovereign Spreads in Emerging Markets?," IMF Staff Papers, Palgrave Macmillan, vol. 48(3), pages 1-3.
    • Handle: RePEc:pal:imfstp:v:48:y:2002:i:3:p:3
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    More about this item

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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