Determinants of Sovereign Bond Spreads in Emerging Markets: Local Fundamentals and Global Factors vs. Ever-Changing Misalignments
We analyze the relationship between global and country-specific factors and emerging market debt spreads from three different angles. First, we aim to disentangle the effect of global and country-specific developments, and find that while both country-specific and global developments are important i...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
2013
|
| Schriftenreihe: | IMF Working Papers
Working Paper No. 13/164 |
| Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Zusammenfassung: | We analyze the relationship between global and country-specific factors and emerging market debt spreads from three different angles. First, we aim to disentangle the effect of global and country-specific developments, and find that while both country-specific and global developments are important in the long-run, global factors are main determinants of spreads in the short-run. Second, we investigate whether and how the strength of fundamentals is related to the sensitivity of spreads to global factors. Countries with stronger fundamentals tend to have lower sensitivity to changes in global risk aversion. Third, we decompose changes in spreads and analyze the behavior of explained and unexplained components over different periods. To do so, we break down fitted changes in spreads into the contribution of country-specific and global factors, as well as decompose changes in the residual into the correction of initial misalignment and an increase/decrease in misalignment. We find that changes in spreads follow periods of tightening/widening, which are well-explained by the model; and the dynamics of the components of the unexplained residual follow all the major developments that impact market sentiment. In particular, we find that in the periods of severe marketstress, such as during the intensive phase of the Eurozone debt crisis, global factors tend to drive changes in the spreads and the misalignment tends to increase in magnitude and its relative share in actual spreads |
| Beschreibung: | 1 Online-Ressource (42 p) |
| ISBN: | 1475573200 9781475573206 |
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| 520 | 3 | |a We analyze the relationship between global and country-specific factors and emerging market debt spreads from three different angles. First, we aim to disentangle the effect of global and country-specific developments, and find that while both country-specific and global developments are important in the long-run, global factors are main determinants of spreads in the short-run. Second, we investigate whether and how the strength of fundamentals is related to the sensitivity of spreads to global factors. Countries with stronger fundamentals tend to have lower sensitivity to changes in global risk aversion. Third, we decompose changes in spreads and analyze the behavior of explained and unexplained components over different periods. To do so, we break down fitted changes in spreads into the contribution of country-specific and global factors, as well as decompose changes in the residual into the correction of initial misalignment and an increase/decrease in misalignment. We find that changes in spreads follow periods of tightening/widening, which are well-explained by the model; and the dynamics of the components of the unexplained residual follow all the major developments that impact market sentiment. In particular, we find that in the periods of severe marketstress, such as during the intensive phase of the Eurozone debt crisis, global factors tend to drive changes in the spreads and the misalignment tends to increase in magnitude and its relative share in actual spreads | |
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| illustrated | Not Illustrated |
| index_date | 2024-07-03T20:13:15Z |
| indexdate | 2024-07-10T09:35:22Z |
| institution | BVB |
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| publishDate | 2013 |
| publishDateSearch | 2013 |
| publishDateSort | 2013 |
| publisher | International Monetary Fund |
| record_format | marc |
| series2 | IMF Working Papers |
| spelling | Csonto, Balazs Verfasser aut Determinants of Sovereign Bond Spreads in Emerging Markets Local Fundamentals and Global Factors vs. Ever-Changing Misalignments Csonto, Balazs Washington, D.C International Monetary Fund 2013 1 Online-Ressource (42 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 13/164 We analyze the relationship between global and country-specific factors and emerging market debt spreads from three different angles. First, we aim to disentangle the effect of global and country-specific developments, and find that while both country-specific and global developments are important in the long-run, global factors are main determinants of spreads in the short-run. Second, we investigate whether and how the strength of fundamentals is related to the sensitivity of spreads to global factors. Countries with stronger fundamentals tend to have lower sensitivity to changes in global risk aversion. Third, we decompose changes in spreads and analyze the behavior of explained and unexplained components over different periods. To do so, we break down fitted changes in spreads into the contribution of country-specific and global factors, as well as decompose changes in the residual into the correction of initial misalignment and an increase/decrease in misalignment. We find that changes in spreads follow periods of tightening/widening, which are well-explained by the model; and the dynamics of the components of the unexplained residual follow all the major developments that impact market sentiment. In particular, we find that in the periods of severe marketstress, such as during the intensive phase of the Eurozone debt crisis, global factors tend to drive changes in the spreads and the misalignment tends to increase in magnitude and its relative share in actual spreads Online-Ausg Ivaschenko, Iryna V. Sonstige oth http://elibrary.imf.org/view/IMF001/20663-9781475573206/20663-9781475573206/20663-9781475573206.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Csonto, Balazs Determinants of Sovereign Bond Spreads in Emerging Markets Local Fundamentals and Global Factors vs. Ever-Changing Misalignments |
| title | Determinants of Sovereign Bond Spreads in Emerging Markets Local Fundamentals and Global Factors vs. Ever-Changing Misalignments |
| title_auth | Determinants of Sovereign Bond Spreads in Emerging Markets Local Fundamentals and Global Factors vs. Ever-Changing Misalignments |
| title_exact_search | Determinants of Sovereign Bond Spreads in Emerging Markets Local Fundamentals and Global Factors vs. Ever-Changing Misalignments |
| title_exact_search_txtP | Determinants of Sovereign Bond Spreads in Emerging Markets Local Fundamentals and Global Factors vs. Ever-Changing Misalignments |
| title_full | Determinants of Sovereign Bond Spreads in Emerging Markets Local Fundamentals and Global Factors vs. Ever-Changing Misalignments Csonto, Balazs |
| title_fullStr | Determinants of Sovereign Bond Spreads in Emerging Markets Local Fundamentals and Global Factors vs. Ever-Changing Misalignments Csonto, Balazs |
| title_full_unstemmed | Determinants of Sovereign Bond Spreads in Emerging Markets Local Fundamentals and Global Factors vs. Ever-Changing Misalignments Csonto, Balazs |
| title_short | Determinants of Sovereign Bond Spreads in Emerging Markets |
| title_sort | determinants of sovereign bond spreads in emerging markets local fundamentals and global factors vs ever changing misalignments |
| title_sub | Local Fundamentals and Global Factors vs. Ever-Changing Misalignments |
| url | http://elibrary.imf.org/view/IMF001/20663-9781475573206/20663-9781475573206/20663-9781475573206.xml |
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