Emerging Market Spread Compression Is It Real or Is It Liquidity? |
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Author:
| Kodres, Laura E. Hartelius, Kristian Kashiwase, Kenichiro |
Series title: | IMF Working Papers |
ISBN: | 978-1-4623-2352-4 |
Publication Date: | Jan 2008 |
Publisher: | International Monetary Fund
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Book Format: | Ebook |
List Price: | USD $9.00 |
Book Description:
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Despite recent turmoil, spreads on emerging market countries' sovereign bonds have fallen dramatically since mid-2002. Some have attributed the fall to improved economic fundamentals while others to ample global liquidity. the paper models spreads and attempts to empirically distinguish between the two factors. the results indicate that fundamentals, as embedded in credit ratings, are very important, but that expectations of future U.S. interest rates and volatility in those...
More DescriptionDespite recent turmoil, spreads on emerging market countries' sovereign bonds have fallen dramatically since mid-2002. Some have attributed the fall to improved economic fundamentals while others to ample global liquidity. the paper models spreads and attempts to empirically distinguish between the two factors. the results indicate that fundamentals, as embedded in credit ratings, are very important, but that expectations of future U.S. interest rates and volatility in those expectations are also a key determinant of emerging market spreads.