Understanding Emerging Market Bonds

Claude B. Erb · Campbell R. Harvey · Tadas E. Viskanta · Rachel A. J. Campbell

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Credit Risk and Financial Regulations Financial Markets and Investment Strategies Global Financial Crisis and Policies

Abstract

Although emerging market bonds have been a investment option for centuries, only in the last decade have we had the data to begin to study their behavior. According to this data emerging market bonds have had high volatility, negative skewness and low, but increasing, correlation with existing asset classes. Not surprisingly we find that as with other asset classes, country risk plays an important role in the pricing of emerging market bonds. We also introduce a measure of market sentiment for emerging market bonds. For many investors the extreme characteristics of emerging market bonds will make it difficult for them to invest, for others we provide some insight on means for emerging market bond investments.

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References

2000Conditional Skewness in Asset Pricing Tests 1995Time-Varying World Market Integration 1997Emerging equity market volatility 1994Predictable Risk and Returns in Emerging Markets 1996Determinants and Impact of Sovereign Credit Ratings 1998What Explains Changing Spreads on Emerging-Market Debt: Fundamentals or Market Sentiment?1998Distributional Characteristics of Emerging Market Returns and Asset Allocation 1996Diversification, Integration and Emerging Market Closed-End Funds

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