Emerging Market Bond Spreads and Sovereign Credit Ratings: Reconciling Market Views with Economic Fundamentals

This paper uses a panel data estimation of a simple univariate model of sovereign spreads on ratings to analyze statistically significant deviations from the estimated relationship. We find evidence of an asymmetric adjustment of spreads and ratings when such deviations are significant. In addition,...

Full description

Saved in:
Bibliographic Details
Main Author: Sy, Amadou N. R. (Author)
Format: Electronic eBook
Language:English
Published: Washington, D.C International Monetary Fund 2001
Series:IMF Working Papers Working Paper No. 01/165
Online Access:UBW01
UEI01
LCO01
SBR01
UER01
SBG01
UBG01
FAN01
UBT01
FKE01
UBY01
UBA01
FLA01
UBM01
UPA01
UBR01
FHA01
FNU01
BSB01
TUM01
Volltext
Summary:This paper uses a panel data estimation of a simple univariate model of sovereign spreads on ratings to analyze statistically significant deviations from the estimated relationship. We find evidence of an asymmetric adjustment of spreads and ratings when such deviations are significant. In addition, the paper illustrates how significant disagreements between market and rating agencies'' views can be used as a signal that further technical and sovereign analysis is warranted. For instance, we find that spreads were ""excessively low"" for most emerging markets before the Asian crisis. More recently, spreads were ""excessively high"" for a number of emerging markets
Physical Description:1 Online-Ressource (29 p)
ISBN:1451858051
9781451858051

There is no print copy available.

Interlibrary loan Place Request Caution: Not in THWS collection! Get full text