Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/51477
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dc.contributor.authorCavallo, Eduardoen_US
dc.contributor.authorValenzuela, Patricioen_US
dc.date.accessioned2010-02-23en_US
dc.date.accessioned2011-11-18T11:48:05Z-
dc.date.available2011-11-18T11:48:05Z-
dc.date.issued2007en_US
dc.identifier.urihttp://hdl.handle.net/10419/51477-
dc.description.abstractThis study explores the determinants of corporate bond spreads in emerging markets economies. Using a largely unexploited dataset, the paper finds that corporate bond spreads are determined by firm-specific variables, bond characteristics, macroeconomic conditions, sovereign risk, and global factors. A variance decomposition analysis shows that firm-level characteristics account for the larger share of the variance. In addition, the paper finds two asymmetries. The first is in line the sovereign ceiling 'lite' hypothesis which states that the transfer of risk from the sovereign to the private sector is less than 1 to 1. The second is consistent with the popular notion that panics are common in emerging markets where investors are less informed and more prone to herding.en_US
dc.language.isoengen_US
dc.publisher|aInter-American Development Bank, Research Dep. |cWashington, DCen_US
dc.relation.ispartofseries|aWorking paper // Inter-American Development Bank, Research Department |x602en_US
dc.subject.jelE43en_US
dc.subject.jelF30en_US
dc.subject.jelF34en_US
dc.subject.jelG15en_US
dc.subject.ddc330en_US
dc.subject.keywordCorporate Bond Spreadsen_US
dc.subject.keywordSovereign Ceilingen_US
dc.subject.keywordDefault Risken_US
dc.subject.keywordEmerging Marketen_US
dc.titleThe determinants of corporate risk in emerging markets: An option-adjusted spreads analysisen_US
dc.typeWorking Paperen_US
dc.identifier.ppn585536740en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

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