Emerging market bond spreads and sovereign credit ratings: reconciling market views with economic fundamentals

Emerging Markets Review - Tập 3 Số 4 - Trang 380-408 - 2002
Amadou Sy1
1International Capital Markets Department, International Monetary Fund, 700, 19th Street NW, Washington, DC 20431, USA

Tóm tắt

Từ khóa


Tài liệu tham khảo

Cantor, 1996, 37

Cavanagh, J., 1998. Emerging Market Research, J.P. Morgan, unpublished presentation

Cunningham, 2001, Analysing yield spreads on emerging market sovereign bonds, Financial Stability Rev., December, 175

Deutsche Bank, 2000. Focus on Asian Bond Markets: Exploring the Asia Premium, Asiamoney

Eichengreen, B., Mody, A., 1998. What Explains Changing Spreads on Emerging Market Debt: Fundamentals or Market Sentiment? NBER Working Paper 6408

Erb, C., Harvey, C.R., Viskanta, T., 2000. Understanding Emerging Market Bonds, Emerging Markets Quarterly, Spring 2000, pp. 7–23

Fons, 1994, Using default rates to model the term structure of credit risk, Financial Anal. J., 50, 25, 10.2469/faj.v50.n5.25

International Monetary Fund, 1999. International Capital Markets: Developments, Prospects, and Key Policy Issues. World Economic and Financial Surveys, September, Washington, pp. 180–199

Juttner, J.D., McCarthy J., 1998. Modeling a Ratings Crisis, Macquarie University, Sydney, Australia, unpublished

Kamin S., von Kleist, K., 1999. The Evolution and Determinants of Emerging Market Credit Spreads in the 1990s, Bank for International Settlements, Working Paper 68

Monfort, B., Mulder, C., 2000, Using Credit Ratings for Capital Requirements on Lending to Emerging Market Economies: Possible Impact of a New Basel Accord, IMF Working Paper WP/00/69, Washington, International Monetary Fund

Mulder, C., Perrelli, 2001. Foreign Currency Credit Ratings for Emerging Market Economies, IMF Working Paper WP 01/191, International Monetary Fund, Washington

Scholtens, 1999, On the comovement of bond yield spreads and country risk ratings, J. Fixed Income, March, 99

Ul Haque, N., Kumar, M., Mark, N., Mathieson, D.J., 1996. The Economic Content of Indicators of Developing Country Creditworthiness, IMF Staff Papers, Vol. 43, No 4, December, pp. 688–723

Vine, A.A., 1995. High Yield Analysis of Emerging Markets Debt, Merrill Lynch