Global Monetary Conditions versus Country-Specific Factors in the Determination of Emerging Market Debt Spreads

US interest rate policy is shown to have a significant influence on emerging market bond spreads, but it is important to allow for non-linearities: US interest rates affect secondary market spreads differently, depending on countries' debt levels. Moderate debtors suffer little impact from an i...

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Main Authors:	Dailami, Mansoor, Masson, Paul R., Padou, Jean Jose
Format:	Journal Article
Language:	EN
Published:	2012
Subjects:	Interest Rates: Determination, Term Structure, and Effects E430 International Lending and Debt Problems F340 Asset Pricing Trading volume Bond Interest Rates G120
Online Access:	http://hdl.handle.net/10986/5567

id	okr-10986-5567
recordtype	oai_dc
spelling	okr-10986-55672021-04-23T14:02:22Z Global Monetary Conditions versus Country-Specific Factors in the Determination of Emerging Market Debt Spreads Dailami, Mansoor Masson, Paul R. Padou, Jean Jose Interest Rates: Determination, Term Structure, and Effects E430 International Lending and Debt Problems F340 Asset Pricing Trading volume Bond Interest Rates G120 US interest rate policy is shown to have a significant influence on emerging market bond spreads, but it is important to allow for non-linearities: US interest rates affect secondary market spreads differently, depending on countries' debt levels. Moderate debtors suffer little impact from an increase in US interest rates, while a country close to the borderline of solvency would face a much steeper increase in its spread. A 200 basis points increase in US short-term interest rates would increase emerging market spreads by 6-65 bps, depending on debt/GNI ratios. 2012-03-30T07:33:27Z 2012-03-30T07:33:27Z 2008 Journal Article Journal of International Money and Finance 02615606 http://hdl.handle.net/10986/5567 EN http://creativecommons.org/licenses/by-nc-nd/3.0/igo World Bank Journal Article
repository_type	Digital Repository
institution_category	Foreign Institution
institution	Digital Repositories
building	World Bank Open Knowledge Repository
collection	World Bank
language	EN
topic	Interest Rates: Determination, Term Structure, and Effects E430 International Lending and Debt Problems F340 Asset Pricing Trading volume Bond Interest Rates G120
spellingShingle	Interest Rates: Determination, Term Structure, and Effects E430 International Lending and Debt Problems F340 Asset Pricing Trading volume Bond Interest Rates G120 Dailami, Mansoor Masson, Paul R. Padou, Jean Jose Global Monetary Conditions versus Country-Specific Factors in the Determination of Emerging Market Debt Spreads
relation	http://creativecommons.org/licenses/by-nc-nd/3.0/igo
description	US interest rate policy is shown to have a significant influence on emerging market bond spreads, but it is important to allow for non-linearities: US interest rates affect secondary market spreads differently, depending on countries' debt levels. Moderate debtors suffer little impact from an increase in US interest rates, while a country close to the borderline of solvency would face a much steeper increase in its spread. A 200 basis points increase in US short-term interest rates would increase emerging market spreads by 6-65 bps, depending on debt/GNI ratios.
format	Journal Article
author	Dailami, Mansoor Masson, Paul R. Padou, Jean Jose
author_facet	Dailami, Mansoor Masson, Paul R. Padou, Jean Jose
author_sort	Dailami, Mansoor
title	Global Monetary Conditions versus Country-Specific Factors in the Determination of Emerging Market Debt Spreads
title_short	Global Monetary Conditions versus Country-Specific Factors in the Determination of Emerging Market Debt Spreads
title_full	Global Monetary Conditions versus Country-Specific Factors in the Determination of Emerging Market Debt Spreads
title_fullStr	Global Monetary Conditions versus Country-Specific Factors in the Determination of Emerging Market Debt Spreads
title_full_unstemmed	Global Monetary Conditions versus Country-Specific Factors in the Determination of Emerging Market Debt Spreads
title_sort	global monetary conditions versus country-specific factors in the determination of emerging market debt spreads
publishDate	2012
url	http://hdl.handle.net/10986/5567
_version_	1764395515104985088

Global Monetary Conditions versus Country-Specific Factors in the Determination of Emerging Market Debt Spreads

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