Emerging Market Spreads: Then Versus Now

By Yishay Yafeh, Paolo Mauro, Nathan Sussman

November 1, 2000

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Yishay Yafeh, Paolo Mauro, and Nathan Sussman. Emerging Market Spreads: Then Versus Now, (USA: International Monetary Fund, 2000) accessed December 23, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

This paper analyzes yield spreads on sovereign debt issued by emerging markets using modern data from the 1990s and newly-collected historical data on debt traded in London during 1870–1913, a previous “golden era” for international capital market integration. Applying several empirical approaches, we show that the co-movement of spreads across emerging markets is higher today than it was in the historical sample. We also show that sharp changes in spreads today tend to be mostly related to global events, whereas country-specific events played a bigger role in 1870–1913. Although we find some evidence that economic fundamentals, too, co-move more strongly today than at that earlier time, our interpretation of the results is that today’s investors pay less attention to country-specific events than their predecessors did in 1870–1913.

Subject: Bond yields, Bonds, Emerging and frontier financial markets, Financial institutions, Financial markets, Financial services, Sovereign bonds, Yield curve

Keywords: Bond returns, Bond yields, Bonds, EMBI yield, Emerging and frontier financial markets, Emerging market, Emerging market country, Emerging market yield, Emerging markets, Global, Gold standard, International financial integration, Secondary market, Sovereign bonds, WP, Yield curve, Yield spread

Publication Details

Pages:

46
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2000/190
Stock No:

WPIEA1902000
ISBN:

9781451859652
ISSN:

1018-5941

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