TY  - UNPD
A1  - Beck, Roland
T1  - Do country fundamentals explain emerging market bond spreads?
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2001,02
N2  - This paper shows that emerging market eurobond spreads after the Asian crisis can be almost completely explained by market expectations about macroeconomic fundamentals and international interest rates. Contrary to the claim that emerging market bond spreads are driven by market variables such as stock market volatility in the developed countries, it is found that this did not play a significant role after the Asian crisis. Using panel data techniques, it is shown that the determinants of bond spreads can be divided into long-term structural variables and medium-term variables which explain month-to-month changes in bond spreads. As relevant medium-term variables, ''consensus forecasts'' of real GDP growth and inflation, and international interest rates are identified. The long-term structural factors do not explicitly enter the model and show up as fixed or random country-specific effects. These intercepts are highly correlated with the countries' credit rating.
T3  - CFS working paper series - 2001, 02 
KW  - Emerging Markets
KW  - Bond Spreads
KW  - Schwellenländer
KW  - Euromarkt
KW  - Auslandsanleihe
KW  - Risikoprämie
KW  - Zinsstruktur
KW  - Zinsstrukturtheorie
KW  - Emerging Market
KW  - Wirtschaftswachstum
KW  - Inflation
KW  - Länderrating
KW  - Länderrisiko
KW  - Schätzung
Y1  - 2001
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4513
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-9799
ER  -