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Author/Editor:
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Tejada, Michelle ; Jaramillo, Laura
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Publication Date:
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March 01, 2011
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Electronic Access:
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Free Full text
(PDF file size is 1,122KB).
Use the free
Adobe Acrobat Reader
to view this PDF file
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.
The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
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Summary:
Sovereign investment grade status is often associated with lower spreads in international markets. Using a panel framework for 35 emerging markets between 1997 and 2010, thispaper finds that investment grade status reduces spreads by 36 percent, above and beyond what is implied by macroeconomic fundamentals. This compares to a 5-10 percent reduction in spreads following upgrades within the investment grade asset class, and no impact formovements within the speculative grade asset class, ceteris paribus. While global financial conditions play a central role in determining spreads, market sentiment improves with lower external public debt to GDP levels and higher domestic growth rates.
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Order a print copy
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Series:
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Working Paper No. 11/44
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Subject(s):
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Credit risk | Economic models | Emerging markets | Investment | Sovereign debt | Time series
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Author's Keyword(s):
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Credit Ratings | Sovereign Debt | Rating Agencies | Emerging Markets |
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English
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Publication Date:
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March 01, 2011
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Format:
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Paper
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Stock No:
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WPIEA2011044
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Pages:
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17
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Price:
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US$18.00 )
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Please address any questions about this title to
publications@imf.org
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