Empirical Determinants of Emerging Market Economies' Sovereign Bond Spreads

Topics:
Investment and Capital Markets
Tags:
Bank Of England,
Bond,
Emerging Market,
Finance,
Financial Services,
Investment,
Marketing,
Marketing Research
Source:
Bank of England

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Overview: 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. This is essentially a dynamic error correction model where cross-sectional coefficients are allowed to vary in the short run but are required to be homogeneous in the long run. This allows a separation of short-run dynamics and adjustment towards the equilibrium. The model is used to benchmark market spreads and assess whether sovereign risk was 'overpriced' or 'underpriced' during different periods over the past decade.

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Format: PDF | Size: 302KB | Date: Nov 2003 | Pages: 38

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