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Determinants of spread and creditworthiness for emerging market sovereign debt: a panel data study
16 references·16 citing·48 second hopsampled
Determinants of spread and creditworthiness for emerging market sovereign debt: a panel data study (2004)Determinants of spread and creditworthine…Econometric Analysis of Panel Data (2021)Econometric Analysis of Panel…How Does U.S. Monetary Policy Influence Sovereign Spreads in Emerging Markets? (2001)How Does U.S. Monetary Policy…Bounds testing approaches to the analysis of level relationships (2001)Bounds testing approaches to …Determinants of Emerging Market Bond Spread: Do Economic Fundamentals Matter? (1999)Determinants of Emerging Mark…What Explains Changing Spreads on Emerging-Market Debt: Fundamentals or Market Sentiment? (1998)What Explains Changing Spread…I Just Ran Four Million Regressions (1997)I Just Ran Four Million Regre…Expected Returns and Volatility in 135 Countries (1996)Expected Returns and Volatili…Determinants and impacts of sovereign credit ratings (1996)Determinants and impacts of s…Determinants and Impact of Sovereign Credit Ratings (1996)Determinants and Impact of So…Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors (1993)Capital Inflows and Real Exch…Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors (1992)Capital Inflows and Real Exch…The theory and practice of econometrics (1986)The theory and practice of ec…The pure theory of country risk (1986)The pure theory of country ri…The Pricing of Bonds and Bank Loans in International Markets: An Empirical Analysis of Developing Countries' Foreign Borrowing (1985)The Pricing of Bonds and Bank…LDC's Foreign Borrowing and Default Risk: An Empirical Investigation (1983)LDC's Foreign Borrowing and D…Debt with Potential Repudiation: Theoretical and Empirical Analysis (1981)Debt with Potential Repudiati…The Drivers of Sovereign CDS Spread Changes: Local Versus Global Factors (2017)The Drivers of Sovereign CDS …Sovereign Risk and Natural Disasters in Emerging Markets (2015)Sovereign Risk and Natural Di…Fiscal transparency and the cost of sovereign debt (2015)Fiscal transparency and the c…Sovereign bond spreads determinants in Latin American countries: Before and during the XXI financial crisis (2013)Sovereign bond spreads determ…Credit Rating Agencies: The Importance of Fundamentals in the Assessment of Sovereign Ratings (2013)Credit Rating Agencies: The I…Country credit risk determinants with model uncertainty (2013)Country credit risk determina…Analyzing determinants of bond yield spreads with Bayesian Model Averaging (2013)Analyzing determinants of bon…The term structure of sovereign default risk in EMU member countries and its determinants (2012)The term structure of soverei…The Dynamics of Sovereign Credit Risk (2011)The Dynamics of Sovereign Cre…Emerging market yield spreads: Domestic, external determinants, and volatility spillovers (2011)Emerging market yield spreads…Shadow Sovereign Ratings for Unrated Developing Countries (2010)Shadow Sovereign Ratings for …THE UNDERPINNINGS OF COUNTRY RISK ASSESSMENT (2008)THE UNDERPINNINGS OF COUNTRY …Is it (Still) Mostly Fiscal? Determinants of Sovereign Spreads in Emerging Markets (2008)Is it (Still) Mostly Fiscal? …Is it (Still) Mostly Fiscal? Determinants of Sovereign Spreads in Emerging Markets (2008)Is it (Still) Mostly Fiscal? …Sovereign Bond Ratings and Neoliberalism in Latin America (2007)Sovereign Bond Ratings and Ne…Determinants of spread, credit ratings and creditworthiness for emerging market sovereign debt: a follow-up study using pooled data analysis (2004)Determinants of spread, credi…Econometric Models for Count Data with an Application to the Patents-R&D Relationship (1984)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)Econometric Analysis of Cross Section and Panel Data (2001)Introductory Econometrics for Finance (2008)Alternative Explanations of the Money-Income Correlation (1986)New Indexes of Coincident and Leading Economic Indicators (1989)Capital Market Liberalization, Economic Growth, and Instability (2000)Effects on Financial Globalization on Developing Countries: Some Empirical Evidence (2004)Capital flow waves: Surges, stops, flight, and retrenchment (2012)Economic Growth in a Cross Section of Countries (1989)A SENSITIVITY ANALYSIS OF CROSS-COUNTRY GROWTH REGRESSIONS (1991)Economic Growth in a Cross Section of Countries (1991)On the relationship between economic freedom and economic growth (2000)Growth effects of government expenditure and taxation in rich countries (2001)Model uncertainty in cross‐country growth regressions (2001)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The saving and investment nexus for China: evidence from cointegration tests (2005)An econometric study of CO2 emissions, energy consumption, income and foreign trade in Turkey (2009)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Defaultable debt, interest rates and the current account (2005)Default Risk and Income Fluctuations in Emerging Economies (2007)How Sovereign Is Sovereign Credit Risk? (2011)Valuation effects of security offerings and the issuance process (1986)Sovereign Debt: Is To Forgive To Forget? (1988)The Effect of Bond Rating Agency Announcements on Bond and Stock Prices (1992)Global Capital and National Governments (2001)The Globalization of Liberalization: Policy Diffusion in the International Political Economy (2004)The pricing of sovereign risk and contagion during the European sovereign debt crisis (2012)Credit Rationing in Markets with Imperfect Information (1981)Reputation and imperfect information (1982)Bank Runs, Deposit Insurance, and Liquidity (1983)Servicing the Public Debt: The Role of Expectations* *I have greatly benefited from comments received at Johns Hopkins University, Georgetown University, the Macro Lunch Group of the University of Pennsylvania, MIT, and the Research Department of the International Monetary Fund. I am particularly indebted to Matt Canzoneri, Sara Guerschanik-Calvo, Joseph Harrington, Jr, Elhanan Helpman, Nissan Leviatan, Maury Obstfeld, Assaf Razin, Sweder van Wijnbergen and two anonymous referees. The research on this paper was partly done while I was a visiting scholar at the Research Department of the Internationed Monetary Fund, and it was partially funded by the National Science Foundation. However, any opinions expressed are entirely my own and not those of any of the above institutions. This paper has already been published in the The American Economic Review, 78, 4, September 1988, pp. 647–661. (1989)The Economics of Development: A Survey (1989)The Economics and Law of Sovereign Debt and Default (2009)Time-Varying World Market Integration (1995)International Portfolio Flows and Security Markets (1999)Privatization, political risk and stock market development in emerging economies (2001)The national market impact of sovereign rating changes (2003)Country Spreads and Emerging Countries: Who Drives Whom? (2003)Sovereign Borrowing by Developing Countries: What Determines Market Access? (2004)Sovereign default and debt renegotiation (2009)Asset pricing and the bid-ask spread (1986)The Effect of National Culture on the Choice of Entry Mode (1988)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)
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References

  • 2001Bounds testing approaches to the analysis of level relationships20,339 cited
  • 2021Econometric Analysis of Panel Data15,089 cited
  • 1986The theory and practice of econometrics4,342 cited
  • 1981Debt with Potential Repudiation: Theoretical and Empirical Analysis2,611 cited
  • 1993Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors1,512 cited
  • 1997I Just Ran Four Million Regressions959 cited
  • 1996Determinants and Impact of Sovereign Credit Ratings652 cited
  • 1986The pure theory of country risk573 cited
  • 1998What Explains Changing Spreads on Emerging-Market Debt: Fundamentals or Market Sentiment?505 cited
  • 1996Expected Returns and Volatility in 135 Countries346 cited
  • 1983LDC's Foreign Borrowing and Default Risk: An Empirical Investigation287 cited
  • 1992Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors251 cited
  • 1985The Pricing of Bonds and Bank Loans in International Markets: An Empirical Analysis of Developing Countries' Foreign Borrowing248 cited
  • 2001How Does U.S. Monetary Policy Influence Sovereign Spreads in Emerging Markets?224 cited
  • 1999Determinants of Emerging Market Bond Spread: Do Economic Fundamentals Matter?

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205 cited
  • 1996Determinants and impacts of sovereign credit ratings190 cited
  • Cited by

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    • 2011Emerging market yield spreads: Domestic, external determinants, and volatility spillovers33 cited
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