Determinants of emerging-market bond spreads: Cross-country evidence

Global Finance Journal

Volumn 14, Issue 3, 2003, Pages 271-286

  Min, Hong Ghi ^a   Lee, Duk Hee ^a   Nam, Changi ^a   Park, Myeong Cheol ^a   Nam, Sang Ho ^b  

^a Korea Advanced Institute of Science and Technology (KAIST)   (South Korea)

^b Seowon University   (South Korea)

Author keywords

Bond spread; Emerging market; Liquidity variables; Macroeconomic fundamentals

Indexed keywords

EID: 0742324067     PISSN: 10440283     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.gfj.2003.10.001     Document Type: Article

References (31)

1. Antzoulatos A. On the determinants and resilience of bond flows to LDCs, 1990-1995 Journal of International Money and Finance 19 2000 399-418
2. Baltige B. Griffin J. Pooled estimators vs. their heterogeneous counterparts in the context of dynamic demand for gasoline Journal of Econometrics 77 1997 303-327
3. Barr D.G. Pesaran B. An assessment of the relative importance of real interest rates, inflation, and term premium in determining the prices of real and nominal U.K. bonds Review of Economics and Statistics 79 1997 362-366
4. Burton F. Inoue H. The influence of country risk factors on the interest differentials on international lending to sovereign borrowers Applied Economics 17 1985 491-507
5. Calvo G. Leiderman L. Reinhart C. Capital inflows and real exchange rate appreciation in Latin America: The role of external factors IMF Staff Papers 40 1993 108-151
6. Cline W. Interest and debt: Systematic risk and policy response, Institute for International Economics 1983 MIT Press Washington, DC
7. Dooley M. Fernandez-Arias E. Kletzer K. Is the debt-crisis history? Recent private capital inflows to developing countries World Bank Economic Review 10 1996 27-50
8. Dotsey M. Reid M. Oil shocks, monetary policy, and economic activity Federal Reserve Bank of Richmond Economic Review 78 1992 14-27
9. Eaton J. Gersovitz M. Stiglitz J. The pure theory of country risk European Economic Review 30 1986 481-513
10. Edwards S. LDC foreign borrowing and default risk: An empirical investigation, 1976-1980 American Economic Review 74 1984 726-734
11. Edwards S. The pricing of bonds and bank loans in international markets: An empirical analysis of developing countries' foreign borrowing European Economic Review 30 1986 565-589
12. Eichengreen, B. & Mody, A. (1998). What explains changing spreads on emerging market debt: Fundamentals or market sentiment? NBER Working Paper No. 6408.
13. Frankel, J. (1994). Why haven't interest rates in Latin American and Asian countries converged to world levels? Recent portfolio capital inflows and stabilization. Unpublished manuscript.
14. Gersovitz M. Banks' international lending decisions: What we know and implications for future research. In Smith G. Cuddington J. (Eds.), International debt and the developing countries 1985 World Bank Washington, DC
15. Gertler, M. & Lown, C. (2000). The information in the high yield bond spread for the business cycle: Evidence and some implications. NBER Working Papers No. 7549.
16. Gisser M. Goodwin T. Crude oil and the macroeconomy: Tests of some popular notions Journal of Money, Credit and Banking 18 1986 94-103
17. Hamilton J. Oil prices and the macroeconomy since the World War II Journal of Political Economy 91 1983 228-248
18. Hanson J. Optimal international borrowing and lending American Economic Review 64 1974 616-630
19. Haque N. Kumar M. Mark N. Mathieson D. The economic contents of indicators of developing country creditworthiness IMF Staff Papers 43 1996 688-724
20. Harberger A. Vignettes on the world capital market American Economic Review 70 1980 331-337
21. International Monetary Fund International capital markets: Developments, prospects and policy issues 1996-2000 IMF Washington, DC
22. Judge G. Griffiths W. Hill R. Luckpohl H. Lee T. The theory and practice of econometrics 1985 Wiley New York
23. Kamin, S. & Rogers, J. (1997). Output and the real exchange rate in developing countries: An application to Mexico. International Finance Discussion Paper No. 580, Board of Governors of the Federal Reserve System, Washington, DC.
24. Mankiw N. Summers L. Do long-term interest rates overreact to short-term interest rates? Brookings Papers on Economic Activity 1 1984 223-242
25. Raymond J. Rich R. Oil and the macroeconomy: A Markov state-switching approach Journal of Money, Credit and Banking 29 1977 193-213
26. Sachs J. The current account and macroeconomic adjustment in the 1970s Brookings Papers on Economic Activities 1 1981 201-268
27. Sachs J. Theoretical issues in international borrowing Princeton studies in International Finance 54 1984
28. Sachs J. External debt and macroeconomic performance in Latin America and East Asia Brooking Papers on Economic Activities 2 1985 523-564
29. Taylor W. Small sample considerations in estimation from panel data Journal of Econometrics 13 1980 203-223
30. White H. A heteroscedasticity-consistent covariance matrix estimator and a direct test for heteroscedasticity Econometrica 48 1980 817-838
31. World Bank Private capital flows to developing countries 1997 World Bank Washington, DC