Hidden Bibliographic Details
| ISBN: | 1475542526
9781475542523
9781475514315
147551431X
1475505620
9781475505627
9781475505627
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| Digital file characteristics: | data file
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| Notes: | Includes bibliographical references.
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| Summary: | We estimate sovereign bond spreads of 28 emerging economies over the period January 1998-December 2011 and test the ability of the model in generating accurate in-sample predictions for emerging economies bond spreads. The impact and significance of country-specific and global explanatory variables on bond spreads varies across regions, as well as economic periods. During crisis times, good macroeconomic fundamentals are helpful in containing bond spreads, but less than in non-crisis times, possibly reflecting the impact of extra-economic forces on bond spreads when a financial crisis occurs.
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| Other form: | Print version: Comelli, Fabio. Emerging Market Sovereign Bond Spreads: Estimation and Back-testing. Washington : International Monetary Fund, ©2012 9781475505627
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