Emerging Market Spread Compression: Is it Real or is it Liquidity?
Electronic Access:
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Summary:
Despite recent turmoil, spreads on emerging market countries' sovereign bonds have fallen dramatically since mid-2002. Some have attributed the fall to improved economic fundamentals while others to ample global liquidity. The paper models spreads and attempts to empirically distinguish between the two factors. The results indicate that fundamentals, as embedded in credit ratings, are very important, but that expectations of future U.S. interest rates and volatility in those expectations are also a key determinant of emerging market spreads.
Series:
Working Paper No. 2008/010
Subject:
Credit ratings Emerging and frontier financial markets Futures Securities markets Yield curve
Frequency:
Biannually
English
Publication Date:
January 1, 2008
ISBN/ISSN:
9781451868722/1018-5941
Stock No:
WPIEA2008010
Pages:
36
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