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Edward W. Sun, Daniel Tenengauzer, Ali Bastani and Omid Rezania
''Identification of Driving Factors for Emerging Markets Sovereign Spreads''
( 2011, Vol. 31 No.3 )
The objective of this paper is to identify the relationship between sovereign yield spreads and macroeconomic variables in emerging markets. We find that the correlation between spreads and GDP is negative. Real effective exchange rate depreciation enlarges spreads and increasing in risk aversion influences spreads. US treasury yields impact on spreads is changing over time. More recently lower US treasuries yields have driven spreads wider. Last commodity prices are associated with a reduction in emerging market debt spreads.
Keywords: Bond spread, Cointegration, Emerging market CDS, Sovereign bond
JEL: E4 - Money and Interest Rates: General
F3 - International Finance: General
Manuscript Received : Aug 04 2011 Manuscript Accepted : Sep 09 2011

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