Cover IMF Working Papers
Determinants of Emerging Market Sovereign Bond Spreads: Fundamentals vs Financial Stress
Author: Iva Petrova, Mr. Michael G. Papaioannou, and Mr. Dimitri Bellas
Series:
IMF Working Papers
Volume/Issue:
Volume 2010: Issue 281
Language:
English
Publication Date:
01 Dec 2010
DOI:
https://doi.org/10.5089/9781455210886.001
ISBN:
9781455210886
ISSN:
1018-5941
Pages:
25
Keywords:
WP; short-term debt; government bond
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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This paper analyses the determimants 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 sperads than fundamentals indicators.
Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund