Hidden Bibliographic Details
| Other authors / contributors: | Papaioannou, Michael G., author.
Petrova, Iva, author.
International Monetary Fund. Monetary and Capital Markets Department, issuing body.
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| ISBN: | 1283569795
9781283569798
9781455291199
1455291196
9781455210886
1455210889
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| Notes: | At head of title: Monetary and Capital Markets Department.
"December 2010."
Includes bibliographical references.
Print version record.
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| Summary: | This paper analyses the determinants 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 economies. This deterioration has widely been attributed to rapidly growing public debts and balance sheet risks. Our results indicate that in the long run, fundamentals are significant determinants of emerging market sovereign bond spreads, while in the short run, financial volatility is a more important determinant of spreads than fundamentals indicators.
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| Other form: | Print version: Petrova, Iva. Determinants of Emerging Market Sovereign Bond Spreads: Fundamentals vs Financial Stress. Washington : International Monetary Fund, ©2010 9781455210886
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