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Tuesday, April 21, 2020 | History

2 edition of Determinants of emerging market bond spread found in the catalog.

Determinants of emerging market bond spread

Hong G. Min

Determinants of emerging market bond spread

do economic fundamentals matter?

by Hong G. Min

  • 119 Want to read
  • 38 Currently reading

Published by World Bank, Development Research Group in Washington, DC .
Written in English

    Places:
  • Developing countries.
    • Subjects:
    • Bonds -- Developing countries.,
    • Bond market -- Developing countries.,
    • Fixed income securities -- Developing countries.

    • Edition Notes

      StatementHong G. Min.
      SeriesPolicy research working paper ;, 1899, Policy research working papers ;, 1899.
      ContributionsWorld Bank. Development Research Group.
      Classifications
      LC ClassificationsHG3881.5.W57 P63 no. 1899
      The Physical Object
      Pagination31 p. ;
      Number of Pages31
      ID Numbers
      Open LibraryOL448387M
      LC Control Number98162146

        The economic factors that influence corporate bond yields are interest rates, inflation, the yield curve, and economic growth. Corporate bond yields are also influenced by a company's own metrics. 2 LITERATURE REVIEW. The literature on determinants of corporate bond spreads is relatively new. The most relevant papers date back to the mids, with Longstaff and Schwartz (), which is regarded as the first great work in this authors used a structural model to price corporate debt incorporating components of default risk and interest by: 1.


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Determinants of emerging market bond spread by Hong G. Min Download PDF EPUB FB2

Min investigates what determines bond spreads in emerging markets in the s. He finds that strong macroeconomic fundamentals in a country-such as low domestic inflation rates, improved terms of trade, and increased foreign assets-are associated with lower yield spreads. By contrast, higher yield spreads are associated with weak liquidity.

risk, are significant determinants of emerging market Determinants of emerging market bond spread book bond spreads. The latter result is consistent with previous studies.

The paper is organized as follows. The second section explains the theoretical framework. The third section presents the variables used, and describes the data. The fourth section. Determinants of Sovereign Bond Spreads in Emerging Markets: Local Fundamentals and Global Factors vs.

Ever-Changing Misalignments Prepared by Balazs Csonto and Iryna Ivaschenko1 Authorized for distribution by Thanos Arvanitis -XO\ Abstract We analyze the relationship between global and country-specific factors and emerging market debt. However, little is known about the determinants of the pricing and thus yield spreads of new emerging market bond issues.

Building on the theoretical framework of recent research, this study performs an empirical analysis for the yield spread determination in emerging market bond File Size: 70KB.

premium on their bond yields. In the long run, macroeconomic factors that affect a country’s liquidity and sustainability and thus its debt repay-ment capacity, as well as political risk, are significant determinants of emerging market sovereign bond spreads, a result that is consistent with previous studies.

The chapter is organized as by: This paper investigates the determinants of bond spreads in emerging markets for the s. The results show that strong macroeconomic fundamentals, such as low domestic inflation rates, improved terms of trade and increased net foreign assets are associated with lower yield spreads.

In contrast, weak liquidity variables of a country, such as high. empirical analysis for the yield spread determination in emerging market bond issues. We find that there are certain groups of important explanatory variables.

Abstract This paper investigates the empirical determinants of emerging market sovereign bond spreads, using a ragged-edge panel of JP Morgan EMBI and EMBI Global secondary market spreads and a set of common macro-prudential indicators. The panel is estimated using the pooled mean group technique due to Pesaran, Shin and Smith ().Cited by:   bond spread is significantly and positively affected by these three economic fundamentals.

Concluding remarks This paper has investigated the determinants of bond spreads for emerging markets. Our key finding is that emerging economies’ liquidity-related variables play very.

Determinants of emerging-market bond spreads: Cross-country evidence. Abstract. This paper investigates the importance of liquidity and solvency variables in determining bond spreads in emerging economies.

First, we find that liquidity and solvency variables explain most of the spread variations in 11 emerging economies during the by: Downloadable.

This paper analyses the determimants 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. During the current global financial and economic crisis, sovereign bond spreads widened dramatically for both developed and emerging market.

Bellas, Papaioannou and Petrova () find that, in the long run, fundamental indicators are significant determinants of emerging market sovereign bond spreads, while in. The yield spread of sovereign bonds, since the mids, has rapidly and markedly become a useful indicator of the risks of default that emerging markets entail.

This spread, abbreviated as sovereign bond spread, is the difference between the yield of a sovereign bond and that of the virtually-free-of-default-risk US Treasury debt security of a comparable maturity.

This difference is the spread Cited by: 3. The author investigates what determines bond spreads in emerging markets in the s. He finds that strong macroeconomic fundamentals in a country -- such as low domestic inflation rates, improved terms of trade, and increased foreign assets -- are associated with lower yield spreads.

liquidity. The impact of these factors on stock market development in emerging markets was then tested using an empirical model (Equation 2). FDI, savings, economic growth, trade openness, exchange rates, banking sector development and stock market liquidity to a larger extent had a positive impact on stock market development in emerging by: 1.

Rowland and Torres () identify the determinants of spread over US Treasuries of 16 selected emerging market sovereign bonds and creditworthiness of the issuers by using a panel-data framework.

3 the main determinant in the short-run. In the same line, Hilscher & Nosbush () studied 32 emerging markets and found the effects of macroeconomic fundamentals on sovereign credit spreads, by using panel data from to Determinants of emerging-market bond spreads: Cross-country evidence Article in Global Finance Journal 14(3) December with 90 Reads How we measure 'reads'.

However, little is known about the determinants that affect the pricing and thus yield spreads of new emerging market bond issues. The issue of how spreads are determined for eamerging market bonds merits a closer investigation in view of the ongoing turbulance in emerging markets and the changing developing country prospects.

Some of the important. The Determinants of Corporate Bond Yield Spreads in South Africa: in particular the cost of debt - is an important determinant of economic growth in emerging economies.

Borrowers in emerging countries – be it the Africa is one among few emerging markets to have a corporate bond market in local currency (i.e. the rand) File Size: KB.

Additional Physical Format: Online version: Min, Hong G. Determinants of emerging market bond spread. Washington, DC: World Bank, Development Research Group, []. Get this from a library. Determinants of emerging market bond spread: do economic fundamentals matter?. [Hong G Min; World Bank.

Development Research Group.]. Risk appetite, proxied by high-yield spreads in developed markets, is a key determinant of the (long- and short-run) evolution of emerging market spread.

While the link exhibits a break by lateit is nonetheless surprisingly strong over the whole life of the emerging market class. EMERGING MARKETS FINANCIAL THEORY did not exert any discernible effect on spreads prior to the crisis, but became in-AND PRACTICE 35 (3) () Abstract This paper analyses the determinants of the changes in sovereign bond spreads in emerging European markets before and during the recent global fi nancial crisis.

the determinants of corporate risk in emerging markets: an option-adjusted spread analysis this study explores the determinants of corporate bond spreads in emerging market economies.

using a. The emerging markets bond index (EMBI) is a benchmark index for measuring the total return performance of international government and corporate bonds issued by emerging market countries that meet.

BibTeX @MISC{Min97determinantsof, author = {Hong G. Min and Jel Classification E and Himmat Kalsi and Fred Kilby and R. Powell and Bill Shaw}, title = {Determinants of Emerging Market Bond Spread: Do Economic Fundamentals Matter?, The World Bank Working Paper Series}, year = {}}. This paper develops measures of emerging market credit spreads for the s, based on data on new bond issues and bank loans, that cover a broader range of borrowers than the Brady bond spreads most commonly used to date.

These measures are used to identify the impacts of credit ratings, maturity and currency denomination on by:   Using a panel of 46 emerging market economies from tothis paper investigates the key determinants of country risk premiums as measured by sovereign bond spreads.

Unlike previous studies, the results indicate that both political and fiscal factors matter for credit risk in emerging by: The Determinants of Corporate Risk in Emerging Markets: An Option-Adjusted Spread Analysis by “lite” in emerging markets bonds spreads (Borensztein et al., ).

It suggests that the so-called examine the determinants of corporate bond credit risk in the United States. The main difference. BibTeX @MISC{Min97determinantsof, author = {Hong G. Min and Gerard Caprio and Robert Cull and Leonardo Hern}, title = {Determinants of Emerging Market Bond Spread: Do Economic Fundamentals Matter?, The World Bank Working Paper Series}, year = {}}.

the trend of the government bond market. The main purpose of this paper is to fulfill that exact need; to investigate how macroeconomic indicators as the independent variables, influence UK government bond yields, and the yield spread between UK government bond yields and US government bond yields.

of common factors that drive movements in emerging market bond spreads. Three broad conclusions are supported by the analysis presented below. First, we find that common forces account for, on average, one third of the total variation in the daily movement of each spread for our primary sample of 15 emerging market by: This study explores the determinants of corporate bond spreads in emerging markets economies.

Using a largely unexploited dataset, the paper finds that corporate bond spreads are determined by firm-specific variables, bond characteristics, macroeconomic conditions, sovereign risk, and global factors.

an analysis of determinants of risk spread in corporate bond markets: the case of firms listed at the nairobi stock exchange. submitted by: iminyi l, l. d61// supervisor: mr. mirie mwangi a management research project proposal submitted in partial fulfillment of.

This paper develops measures of emerging market credit spreads for the s, based on data on new bond issues and bank loans, that cover a broader range of borrowers than the Brady bond spreads. Graph and download economic data for ICE BofA Emerging Markets Corporate Plus Index Option-Adjusted Spread (BAMLEMCBPIOAS) from to about emerging markets, option-adjusted spread, corporate, indexes, and USA.

importance of liquidity in developed bond markets, we are the first to document the significance of liquidity premia in USD-denominated bonds in emerging markets, and the first study to investigate the determinants of emerging market corporate Eurobond yield spreads.1 Liquidity effects in emerging bond markets are important for several reasons.

Our study aims to identify the main economic determinants both of the spread of emerging market sovereign issues and of the creditworthiness of the issuer.

The two should be closely connected. The study uses a panel data framework and a sample of 16 emerging market countries.

Annual time-series data is used for the period to The author analyzes the political determinants of sovereign bond yield spreads using panel data for 27 emerging markets from to He studies how various political aspects determine sovereign bond yield spreads in emerging markets.

In this paper the empirical determinants of emerging market sovereign bond spreads are estimated, using a ragged-edge panel of JP Morgan EMBI and EMBI Global secondary market spreads and a set of.the government bond spread by about 9 cents per $ par value, but the corporate bond spread is not.

Consistent with improved pricing transparency, the bid-ask spread in the corporate and municipal bond markets is lower in by about 7 to 11 cents per $ par value, relative to the earlier years.THE DETERMINANTS OF CORPORATE RISK IN EMERGING MARKETS: AN OPTION-ADJUSTED SPREAD ANALYSIS EDUARDO A.

CAVALLOa,y and PATRICIO VALENZUELAb aInter-American Development Bank, Research Department, USA bEuropean University Institute, Economics Department, Italy ABSTRACT This study explores the determinants of corporate bond spreads in emerging.