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Determinants of emerging markets’ financial health: A panel data study of sovereign bond spreads

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  • Tebaldi, Edinaldo
  • Nguyen, Hana
  • Zuluaga, John

Abstract

This research uses Arellano and Bover (1995) and Blundell and Bond (1998) GMM estimator to pinpoint the determinants of sovereign spreads in thirty-one emerging economies from 1994 to 2014. The empirical analysis provides evidence that GDP growth, real effective exchange rate, and political liberation play an essential role in determining the spreads. Openness and geography are surprisingly not significant drivers of a country’s riskiness. In addition, the estimates show a considerable impact of the 1997–1998 Asian Crisis and the 2008–2009 Financial Crisis on emerging countries’ spreads. However, there was no significant increase in bond spreads in the post-Financial Crisis period.

Suggested Citation

  • Tebaldi, Edinaldo & Nguyen, Hana & Zuluaga, John, 2018. "Determinants of emerging markets’ financial health: A panel data study of sovereign bond spreads," Research in International Business and Finance, Elsevier, vol. 45(C), pages 82-93.
    • Handle: RePEc:eee:riibaf:v:45:y:2018:i:c:p:82-93
    DOI: 10.1016/j.ribaf.2017.07.135
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    4. Kubota,Megumi & Zeufack,Albert G., 2020. "Assessing the Returns on Investment in Data Openness and Transparency," Policy Research Working Paper Series 9139, The World Bank.
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    More about this item

    Keywords

    International finance; Sovereign bonds; Risk premium; GMM;
    All these keywords.

    JEL classification:

    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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