Determinants of Emerging Market Sovereign Bond Spreads: Fundamentals vs Financial Stress
IMF Working Papers, December 1, 2010
Source details
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- Determinants of Emerging Market Sovereign Bond Spreads: Fundamentals vs Financial Stress
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Bibliographic details
- Authors: Iva Petrova, Michael G. Papaioannou, Dimitri Bellas
- Published: December 1, 2010
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781455210886.001
Overview
- Paper objective: analyses the determinants of emerging market sovereign bond spreads by examining the short and long-run effects of fundamental (macroeconomic) and temporary (financial market) factors on these spreads.
- Context: During the current global financial and economic crisis, sovereign bond spreads widened dramatically for both developed and emerging market economies. This deterioration has widely been attributed to rapidly growing public debts and balance sheet risks.
Key findings
- Long-run determinants:
- Fundamentals are significant determinants of emerging market sovereign bond spreads in the long run.
- Short-run determinants:
- Financial volatility is a more important determinant of spreads than fundamentals indicators in the short run.
Authors, date, and metadata
- Authors: Iva Petrova, Michael G. Papaioannou, Dimitri Bellas
- Date: December 1, 2010
- Series: Working Paper No. 2010/281
- Issue: 281
- Volume: 2010
- Pages: 25
- DOI: https://doi.org/10.5089/9781455210886.001
- Stock No: WPIEA2010281
- ISBN: 9781455210886
- ISSN: 1018-5941
Subjects and keywords
- Subject: Emerging and frontier financial markets, External debt, Fiscal stance, Sovereign bonds, Yield curve
- Keywords: government bond, short-term debt, WP
Source: Determinants of Emerging Market Sovereign Bond Spreads: Fundamentals vs Financial Stress — IMF Working Paper No. 2010/281, DOI https://doi.org/10.5089/9781455210886.001