IDEAS home Printed from https://ideas.repec.org/r/boe/boeewp/205.html
   My bibliography  Save this item

Empirical determinants of emerging market economies' sovereign bond spreads

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Yelkesen, OÄŸuzhan, 2022. "The Dynamic Link between Bond Spreads and Fiscal Indicators: An Empirical Investigation of Turkey," Asian Journal of Applied Economics, Kasetsart University, Center for Applied Economics Research, vol. 29(2).
  2. Ms. Susan M Schadler & Mr. Pipat Luengnaruemitchai, 2007. "Do Economists’ and Financial Markets’ Perspectives on the New Members of the EU differ?," IMF Working Papers 2007/065, International Monetary Fund.
  3. Mykhaylova Olena & Staveley-O’Carroll James, 2014. "International transmission of productivity shocks with nonzero net foreign debt," The B.E. Journal of Macroeconomics, De Gruyter, vol. 14(1), pages 579-624, January.
  4. Wälti, Sébastien & Weder, Ghislaine, 2009. "Recovering from bond market distress: Good luck and good policy," Emerging Markets Review, Elsevier, vol. 10(1), pages 36-50, March.
  5. Xavier Debrun & David Hauner & Manmohan S. Kumar, 2009. "Independent Fiscal Agencies," Journal of Economic Surveys, Wiley Blackwell, vol. 23(1), pages 44-81, February.
  6. Bennouna, Hicham & Bounader, Lahcen, 2018. "Analyse de la transmission de la politique monétaire vers les taux souverains," Document de travail 2018-2, Bank Al-Maghrib, Département de la Recherche.
  7. Patricia Crifo & Marc-Arthur Diaye & Rim Oueghlissi, 2014. "Measuring the effect of government ESG performance on sovereign borrowing cost," CIRANO Working Papers 2014s-37, CIRANO.
  8. Crifo, Patricia & Diaye, Marc-Arthur & Oueghlissi, Rim, 2017. "The effect of countries’ ESG ratings on their sovereign borrowing costs," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 13-20.
  9. Audzeyeva, Alena & Schenk-Hoppé, Klaus Reiner, 2010. "The role of country, regional and global market risks in the dynamics of Latin American yield spreads," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(4), pages 404-422, October.
  10. Comelli, Fabio, 2012. "Emerging market sovereign bond spreads: Estimation and back-testing," Emerging Markets Review, Elsevier, vol. 13(4), pages 598-625.
  11. Hei Wai Lee & Yan Alice Xie & Jot Yau, 2014. "Sovereign risk and its changing effects on bond duration during financial crisis," Applied Financial Economics, Taylor & Francis Journals, vol. 24(22), pages 1465-1477, November.
  12. Laura Jaramillo & Ms. Yuanyan S Zhang, 2013. "Real Money Investors and Sovereign Bond Yields," IMF Working Papers 2013/254, International Monetary Fund.
  13. Andreas Schabert & Sweder J G van Wijnbergen, 2014. "Sovereign Default and the Stability of Inflation-Targeting Regimes," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 62(2), pages 261-287, June.
  14. Galariotis, Emilios C. & Makrichoriti, Panagiota & Spyrou, Spyros, 2016. "Sovereign CDS spread determinants and spill-over effects during financial crisis: A panel VAR approach," Journal of Financial Stability, Elsevier, vol. 26(C), pages 62-77.
  15. Genberg, Hans & Sulstarova, Astrit, 2008. "Macroeconomic volatility, debt dynamics, and sovereign interest rate spreads," Journal of International Money and Finance, Elsevier, vol. 27(1), pages 26-39, February.
  16. Ioana Alexopoulou & Irina Bunda & Annalisa Ferrando, 2010. "Determinants of Government Bond Spreads in New EU Countries," Eastern European Economics, Taylor & Francis Journals, vol. 48(5), pages 5-37, September.
  17. Ciarlone, Alessio & Piselli, Paolo & Trebeschi, Giorgio, 2009. "Emerging markets' spreads and global financial conditions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(2), pages 222-239, April.
  18. Zelal Aktas & Neslihan Kaya & Umit Ozlale, 2005. "The Price Puzzle in Emerging Markets : Evidence from the Turkish Economy Using Model Based Risk Premium Derived from Domestic Fundamentals," Working Papers 0502, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  19. Beirne, John & Fratzscher, Marcel, 2013. "The pricing of sovereign risk and contagion during the European sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 34(C), pages 60-82.
  20. Mr. Manmohan S. Kumar & Jirí Jonáš & Mr. David Hauner, 2007. "Policy Credibility and Sovereign Credit: The Case of New EU Member States," IMF Working Papers 2007/001, International Monetary Fund.
  21. Jean-Louis Combes & Alexandru Minea & Pegdéwendé Nestor Sawadogo, 2019. "Does the composition of government expenditures matter for sovereign bond spreads' evolution in developing countries?," Working Papers halshs-02019063, HAL.
  22. Kennedy, Mike & Palerm, Angel, 2014. "Emerging market bond spreads: The role of global and domestic factors from 2002 to 2011," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 70-87.
  23. Garay, Urbi & González, Maximiliano & Rosso, John, 2019. "Country and industry effects in corporate bond spreads in emerging markets," Journal of Business Research, Elsevier, vol. 102(C), pages 191-200.
  24. Sawadogo, Pegdéwendé Nestor, 2020. "Can fiscal rules improve financial market access for developing countries?," Journal of Macroeconomics, Elsevier, vol. 65(C).
  25. Galariotis, Emilios C. & Krokida, Styliani-Iris & Spyrou, Spyros I., 2016. "Bond market investor herding: Evidence from the European financial crisis," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 367-375.
  26. Agénor, Pierre-Richard & Alper, Koray & Pereira da Silva, Luiz, 2018. "External shocks, financial volatility and reserve requirements in an open economy," Journal of International Money and Finance, Elsevier, vol. 83(C), pages 23-43.
  27. Ramzi Mallat & Duc Khuong Nguyen, 2008. "Does Macroeconomic Transparency Help Governments Be Solvent?: Evidence From Recent Data," World Scientific Book Chapters, in: Mondher Bellalah & Jean-Luc Prigent & Jean-Michel Sahut & Georges Pariente & Olivier Levyne & Michel (ed.), Risk Management And Value Valuation and Asset Pricing, chapter 25, pages 615-631, World Scientific Publishing Co. Pte. Ltd..
  28. Patrice T. Robitaille & Jennifer E. Roush, 2006. "How do FOMC actions and U.S. macroeconomic data announcements move Brazilian sovereign yield spreads and stock prices?," International Finance Discussion Papers 868, Board of Governors of the Federal Reserve System (U.S.).
  29. Elgin, Ceyhun & Uras, Burak R., 2013. "Public debt, sovereign default risk and shadow economy," Journal of Financial Stability, Elsevier, vol. 9(4), pages 628-640.
  30. Sonenshine, Ralph & Kumari, Sapna, 2022. "The differential impact of political risk factors on emerging market bond spreads and credit rating outlooks," Journal of Economics and Business, Elsevier, vol. 120(C).
  31. Wang, Alan T. & Yang, Sheng-Yung & Yang, Nien-Tzu, 2013. "Information transmission between sovereign debt CDS and other financial factors – The case of Latin America," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 586-601.
  32. Garbers, Chris & Liu, Guangling, 2018. "Macroprudential policy and foreign interest rate shocks: A comparison of loan-to-value and capital requirements," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 683-698.
  33. Richard Kajumbula & Patricia Lindelwa Makoni, 2024. "Cointegration between CEO Power and Bank Risk: the Case of Commercial Banks in Uganda," Economic Research Guardian, Mutascu Publishing, vol. 14(2), pages 127-150, December.
  34. Mr. David Hauner & Mr. Manmohan S. Kumar, 2005. "Financial Globalization and Fiscal Perfomance in Emerging Markets," IMF Working Papers 2005/212, International Monetary Fund.
  35. Moser, Christoph, 2007. "The Impact of Political Risk on Sovereign Bond Spreads - Evidence from Latin America," Proceedings of the German Development Economics Conference, Göttingen 2007 24, Verein für Socialpolitik, Research Committee Development Economics.
  36. António Afonso & Nuno Verdial, 2019. "Sovereign debt crisis in Portugal and in Spain," Working Papers REM 2019/0112, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  37. Aristei, David & Martelli, Duccio, 2014. "Sovereign bond yield spreads and market sentiment and expectations: Empirical evidence from Euro area countries," Journal of Economics and Business, Elsevier, vol. 76(C), pages 55-84.
  38. David Hauner & Jiri Jonas & Manmohan Singh Kumar, 2010. "Sovereign Risk: Are the EU's New Member States Different?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(4), pages 411-427, August.
  39. Federico Filippini & Augusto de la Torre & Alain Ize, "undated". "The Commodity Cycle in Latin America," World Bank Publications - Reports 24014, The World Bank Group.
  40. Menna Bizuneh & Menelik Geremew, 2021. "Assessing the Impact of Covid-19 Pandemic on Emerging Market Economies’ (EMEs) Sovereign Bond Risk Premium and Fiscal Solvency," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 47(4), pages 519-545, October.
  41. Bernoth, Kerstin & Herwartz, Helmut, 2021. "Exchange rates, foreign currency exposure and sovereign risk," Journal of International Money and Finance, Elsevier, vol. 117(C).
  42. K.P., Prabheesh, 2013. "Optimum international reserves and sovereign risk: Evidence from India," Journal of Asian Economics, Elsevier, vol. 28(C), pages 76-86.
  43. Prasanna Gai & Gavin Cameron & Kang Yong Tan, 2009. "Sovereign Risk in the Classical Gold Standard Era," The Economic Record, The Economic Society of Australia, vol. 85(271), pages 401-416, December.
  44. Lee, Hei Wai & Xie, Yan Alice & Yau, Jot, 2011. "The impact of sovereign risk on bond duration: Evidence from Asian sovereign bond markets," International Review of Economics & Finance, Elsevier, vol. 20(3), pages 441-451, June.
  45. Liu, Zhuoshi & Spencer, Peter, 2013. "Modelling sovereign credit spreads with international macro-factors: The case of Brazil 1998–2009," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 241-256.
  46. Ebner, André, 2009. "An empirical analysis on the determinants of CEE government bond spreads," Emerging Markets Review, Elsevier, vol. 10(2), pages 97-121, June.
  47. Hui, Cho-Hoi & Lo, Chi-Fai & Chau, Po-Hon, 2018. "Exchange rate dynamics and US dollar-denominated sovereign bond prices in emerging markets," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 109-128.
  48. Jacek Kotłowski & Michał Brzoza-Brzezina, 2016. "The nonlinear nature of country risk," EcoMod2016 9416, EcoMod.
  49. Andreas Schabert & Sweder van Wijnbergen, 2006. "Debt, Deficits, and Destabilizing Monetary Policy in Open Economies," Tinbergen Institute Discussion Papers 06-045/2, Tinbergen Institute.
  50. Tkalec, Marina & Vizek, Maruška & Verbič, Miroslav, 2014. "Balance sheet effects and original sinners’ risk premiums," Economic Systems, Elsevier, vol. 38(4), pages 597-613.
  51. Kucuk, Ugur N., 2009. "Dynamic Sources of Sovereign Bond Market Liquidity," MPRA Paper 19677, University Library of Munich, Germany.
  52. Ms. Garima Vasishtha & Mr. Taimur Baig & Mr. Manmohan S. Kumar & Ms. Edda Zoli, 2006. "Fiscal and Monetary Nexus in Emerging Market Economies: How Does Debt Matter?," IMF Working Papers 2006/184, International Monetary Fund.
  53. Ordoñez-Callamand, Daniel & Gomez-Gonzalez, Jose Eduardo & Melo-Velandia, Luis Fernando, 2017. "Sovereign default risk in OECD countries: Do global factors matter?," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 629-639.
  54. Alex Luiz Ferreira, 2007. "On the Transmission Mechanism of Monetary Constraints to the Real Side of the Economy," International Review of Applied Economics, Taylor & Francis Journals, vol. 21(1), pages 43-54.
  55. Chris Garbers & Guangling Liu, 2017. "Macroprudential policy and foreign interest rate shocks: A comparison of different instruments and regulatory regimes," Working Papers 15/2017, Stellenbosch University, Department of Economics.
  56. Iva Petrova & Mr. Michael G. Papaioannou & Mr. Dimitri Bellas, 2010. "Determinants of Emerging Market Sovereign Bond Spreads: Fundamentals vs Financial Stress," IMF Working Papers 2010/281, International Monetary Fund.
  57. Cho-Hoi Hui & Chi-Fai Lo & Po-Hon Chau, 2016. "Exchange Rate Dynamics and US Dollar-denominated Sovereign Bond Prices in Emerging Markets," Working Papers 072016, Hong Kong Institute for Monetary Research.
  58. Boris T. Petkov, 2017. "Excessive Debt or Excess Savings -- Transition Countries Sovereign Bond Spread Assessment," International Business Research, Canadian Center of Science and Education, vol. 10(3), pages 91-119, March.
  59. Mr. Sanjeev Gupta & Mr. Amine Mati & Mr. Emanuele Baldacci, 2008. "Is it (Still) Mostly Fiscal? Determinants of Sovereign Spreads in Emerging Markets," IMF Working Papers 2008/259, International Monetary Fund.
  60. Chris Garbers & Guangling Liu, 2017. "Flow specific capital controls for emerging markets," Working Papers 12/2017, Stellenbosch University, Department of Economics.
  61. Mahmoud Haddad & Sam Hakim, 2008. "The Impact of War and Terrorism on Sovereign Risk in MENA Countries," Working Papers 394, Economic Research Forum, revised 03 Jan 2008.
  62. Katia Rocha & Ajax Moreira, 2009. "O Impacto da Política Fiscal nos Spreads Soberanos: A Austeridade Fiscal e a Qualidade do Ajuste," Discussion Papers 1422, Instituto de Pesquisa Econômica Aplicada - IPEA.
  63. Ms. Edda Zoli, 2004. "Credit Rationing in Emerging Economies' Access to Global Capital Markets," IMF Working Papers 2004/070, International Monetary Fund.
  64. Christiane Nickel & Philipp Rother & Jan-Christoph Ruelke, 2011. "Fiscal variables and bond spreads - evidence from Eastern European countries and Turkey," Applied Financial Economics, Taylor & Francis Journals, vol. 21(17), pages 1291-1307.
  65. Morrison, Eleanor J., 2019. "Energy price implications for emerging market bond returns," Research in International Business and Finance, Elsevier, vol. 50(C), pages 398-415.
  66. Rocha, Katia & Moreira, Ajax, 2010. "The role of domestic fundamentals on the economic vulnerability of emerging markets," Emerging Markets Review, Elsevier, vol. 11(2), pages 173-182, June.
  67. Audzeyeva, Alena & Fuertes, Ana-Maria, 2018. "On the predictability of emerging market sovereign credit spreads," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 140-157.
  68. Hajer Dachraoui & Mounir Smida & Maamar Sebri, 2020. "Role of capital flight as a driver of sovereign bond spreads in Latin American countries," International Economics, CEPII research center, issue 162, pages 15-33.
  69. Benu Schneider, 2005. "Do Global Standards And Codes Prevent Financial Crises? Some Proposals On Modifying The Standards-Based Approach," UNCTAD Discussion Papers 177, United Nations Conference on Trade and Development.
  70. Dupuy, Philippe & Carlotti, Jean-Etienne, 2010. "The Optimal Path of the Chinese Renminbi," MPRA Paper 26107, University Library of Munich, Germany.
  71. Kanlı, İbrahim Burak, 2008. "Asymmetric impacts of global risk appetite on the risk premium for an emerging market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(13), pages 3218-3226.
  72. Suh, Sangwon, 2015. "Measuring sovereign risk contagion in the Eurozone," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 45-65.
  73. Martinez, Lisana B. & Terceño, Antonio & Teruel, Mercedes, 2013. "Sovereign bond spreads determinants in Latin American countries: Before and during the XXI financial crisis," Emerging Markets Review, Elsevier, vol. 17(C), pages 60-75.
  74. J. W. Muteba Mwamba & Mathias Manguzvane, 2020. "Contagion risk in african sovereign debt markets: A spatial econometrics approach," International Finance, Wiley Blackwell, vol. 23(3), pages 506-536, December.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.