Global Monetary Conditions versus Country-Specific Factors in the Determination of Emerging Market Debt Spreads

• Tác giả: Mansoor Dailami
• Ngôn ngữ: eng
• Ký hiệu phân loại: 332.46 Monetary policy
• Thông tin xuất bản: 2012
• Bộ sưu tập: Tài liệu truy cập mở
• ID: 293009
• Chủ đề: 1. Asset Pricing; 2. Bond Interest Rates G120; 3. Interest Rates: Determination, Term Structure, and Effects E430; 4. International Lending and Debt Problems F340; 5. Trading volume

Tóm tắt

US interest rate policy is shown to have a significant influence on emerging market bond spreads, but it is important to allow for non-linearities: US interest rates affect secondary market spreads differently, depending on countries' debt levels. Moderate debtors suffer little impact from an increase in US interest rates, while a country close to the borderline of solvency would face a much steeper increase in its spread. A 200 basis points increase in US short-term interest rates would increase emerging market spreads by 6-65 bps, depending on debt/GNI ratios.