Global Monetary Conditions versus Country-Specific Factors in the Determination of Emerging Market Debt Spreads
US interest rate policy is shown to have a significant influence on emerging market bond spreads, but it is important to allow for non-linearities: US interest rates affect secondary market spreads differently, depending on countries' debt levels. Moderate debtors suffer little impact from an increase in US interest rates, while a country close to the borderline of solvency would face a much steeper increase in its spread. A 200 basis points increase in US short-term interest rates would increase emerging market spreads by 6-65 bps, depending on debt/GNI ratios.
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| Main Authors: | , , |
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| Format: | Journal Article biblioteca |
| Language: | EN |
| Published: |
2008
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| Subjects: | Interest Rates: Determination, Term Structure, and Effects E430, International Lending and Debt Problems F340, Asset Pricing, Trading volume, Bond Interest Rates G120, |
| Online Access: | http://hdl.handle.net/10986/5567 |
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