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Determinants of emerging-market bond spreads: Cross-country evidence
16 references·14 citing·41 second hop
Determinants of emerging-market bond spreads: Cross-country evidence (2003)Determinants of emerging-market bond spre…Output and the real exchange rate in developing countries: an application to Mexico (2000)Output and the real exchange …The Information in the High Yield Bond Spread for the Business Cycle: Evidence and Some Implications (1999)The Information in the High Y…What Explains Changing Spreads on Emerging-Market Debt: Fundamentals or Market Sentiment? (1998)What Explains Changing Spread…International Capital Markets: Developments, Prospects, and Policy Issues (1995)International Capital Markets…Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors (1993)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 (1986)The pricing of bonds and bank…Crude Oil and the Macroeconomy: Tests of Some Popular Notions: Note (1986)Crude Oil and the Macroeconom…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…External Debt and Macroeconomic Performance in Latin America and East Asia (1985)External Debt and Macroeconom…LDC Foreign Borrowing and Default Risk: An Empirical Investigation, 1976-80 (1984)LDC Foreign Borrowing and Def…Do Long-Term Interest Rates Overreact to Short-Term Interest Rates? (1984)Do Long-Term Interest Rates O…Theoretical Issues in International Borrowing (1983)Theoretical Issues in Interna…Oil and the Macroeconomy since World War II (1983)Oil and the Macroeconomy sinc…The Current Account and Macroeconomic Adjustment in the 1970s (1981)The Current Account and Macro…A simple model of the long-term interest rate (2021)A simple model of the long-te…The Determinants of Sovereign Risk Premium in African Countries (2019)The Determinants of Sovereign…Crisis and contract breach: The domestic and international determinants of expropriation (2019)Crisis and contract breach: T…The impacts of overseas market shocks on the CDS-option basis (2018)The impacts of overseas marke…Sub-Saharan African Eurobond yields: What really matters beyond global factors? (2018)Sub-Saharan African Eurobond …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…Sovereign bond spreads determinants in Latin American countries: Before and during the XXI financial crisis (2013)Sovereign bond spreads determ…Emerging market yield spreads: Domestic, external determinants, and volatility spillovers (2011)Emerging market yield spreads…COALITION GOVERNMENTS AND SOVEREIGN DEBT CRISES (2009)COALITION GOVERNMENTS AND SOV…An empirical analysis on the determinants of CEE government bond spreads (2009)An empirical analysis on the …A Structural Model of Sovereign Debt Issuance: Assessing the Role of Financial Factors (2008)A Structural Model of Soverei…The Impact of Political Risk on Sovereign Bond Spreads - Evidence from Latin America (2007)The Impact of Political Risk …Dynamic effects of terms of trade shocks: The impact on debt and growth (2007)Dynamic effects of terms of t…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)Discretion versus policy rules in practice (1993)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Procyclicality of the financial system and financial stability: Issues and policy options (2001)Credit market shocks and economic fluctuations: Evidence from corporate bond and stock markets (2009)Changes in bank lending standards and the macroeconomy (2014)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Macroeconomics and Reality (1980)Comparing alternative tests of causality in temporal systems (1983)This is what happened to the oil price-macroeconomy relationship (1996)Oil price shocks and stock market activity (1999)What is an Oil Shock? (2000)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)Estimation of Dynamic Models with Error Components (1981)Understanding the determinants of sovereign debt ratings: Evidence for the two leading agencies (2003)Systemic sovereign credit risk: Lessons from the U.S. and Europe (2013)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)International Portfolio Flows and Security Markets (1999)How Foreign Participation and Market Concentration Impact Bank Spreads: Evidence from Latin America (2004)Globalisation: the great unbundling(s) (2006)Explaining saving-investment correlations (1993)Capital Account Liberalization: What Do Cross-Country Studies Tell Us? (2001)Relationships between oil price shocks and stock market: An empirical analysis from China (2008)Macroeconomic Responses to Oil Price Increases and Decreases in Seven OECD Countries (1994)Oil prices and the rise and fall of the US real exchange rate (1998)Energy prices and aggregate economic activity: an interpretative survey (2002)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

  • 1986The theory and practice of econometrics4,342 cited
  • 1983Oil and the Macroeconomy since World War II3,823 cited
  • 1993Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors1,512 cited
  • 1981The Current Account and Macroeconomic Adjustment in the 1970s774 cited
  • 1986Crude Oil and the Macroeconomy: Tests of Some Popular Notions: Note582 cited
  • 1986The pure theory of country risk573 cited
  • 1998What Explains Changing Spreads on Emerging-Market Debt: Fundamentals or Market Sentiment?505 cited
  • 1984LDC Foreign Borrowing and Default Risk: An Empirical Investigation, 1976-80459 cited
  • 1995International Capital Markets: Developments, Prospects, and Policy Issues356 cited
  • 1999The Information in the High Yield Bond Spread for the Business Cycle: Evidence and Some Implications319 cited
  • 1983Theoretical Issues in International Borrowing310 cited
  • 1986The pricing of bonds and bank loans in international markets274 cited
  • 1984Do Long-Term Interest Rates Overreact to Short-Term Interest Rates?253 cited
  • 1985The Pricing of Bonds and Bank Loans in International Markets: An Empirical Analysis of Developing Countries' Foreign Borrowing248 cited
  • 2000

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Output and the real exchange rate in developing countries: an application to Mexico
240 cited
  • 1985External Debt and Macroeconomic Performance in Latin America and East Asia230 cited
  • Cited by

    • 2009COALITION GOVERNMENTS AND SOVEREIGN DEBT CRISES86 cited
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    • 2008A Structural Model of Sovereign Debt Issuance: Assessing the Role of Financial Factors59 cited
    • 2019Crisis and contract breach: The domestic and international determinants of expropriation56 cited
    • 2007The Impact of Political Risk on Sovereign Bond Spreads - Evidence from Latin America52 cited
    • 2015Sovereign Risk and Natural Disasters in Emerging Markets46 cited
    • 2007Dynamic effects of terms of trade shocks: The impact on debt and growth46 cited
    • 2013Sovereign bond spreads determinants in Latin American countries: Before and during the XXI financial crisis40 cited
    • 2018Sub-Saharan African Eurobond yields: What really matters beyond global factors?37 cited
    • 2011Emerging market yield spreads: Domestic, external determinants, and volatility spillovers33 cited
    • 2018The impacts of overseas market shocks on the CDS-option basis28 cited
    • 2017The Drivers of Sovereign CDS Spread Changes: Local Versus Global Factors27 cited
    • 2019The Determinants of Sovereign Risk Premium in African Countries25 cited
    • 2021A simple model of the long-term interest rate15 cited