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http://hdl.handle.net/10419/25374
  

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dc.contributor.authorBeck, Rolanden_US
dc.date.accessioned2009-07-24T13:34:25Z-
dc.date.available2009-07-24T13:34:25Z-
dc.date.issued2001en_US
dc.identifier.piurn:nbn:de:hebis:30-9799-
dc.identifier.urihttp://hdl.handle.net/10419/25374-
dc.description.abstractThis paper shows that emerging market eurobond spreads after the Asian crisis can be almost completely explained by market expectations about macroeconomic fundamentals and international interest rates. Contrary to the claim that emerging market bond spreads are driven by market variables such as stock market volatility in the developed countries, it is found that this did not play a significant role after the Asian crisis. Using panel data techniques, it is shown that the determinants of bond spreads can be divided into long-term structural variables and medium-term variables which explain month-to-month changes in bond spreads. As relevant medium-term variables, ''consensus forecasts'' of real GDP growth and inflation, and international interest rates are identified. The long-term structural factors do not explicitly enter the model and show up as fixed or random country-specific effects. These intercepts are highly correlated with the countries' credit rating.en_US
dc.language.isoengen_US
dc.publisherCenter for Financial Studies Frankfurt, Mainen_US
dc.relation.ispartofseriesCFS Working Paper 2001/02en_US
dc.subject.jelF34en_US
dc.subject.ddc330en_US
dc.subject.keywordEmerging Marketsen_US
dc.subject.keywordBond Spreadsen_US
dc.titleDo country fundamentals explain emerging market bond spreads?en_US
dc.typeWorking Paperen_US
dc.identifier.ppn330870505en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:cfswop:200102-
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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