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

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,...

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Bibliografiske detaljer
Hovedforfatter:	Sy, Amadou
Format:	Tidsskrift
Sprog:	English
Udgivet:	Washington, D.C. : International Monetary Fund, 2001.
Serier:	IMF Working Papers; Working Paper ; No. 2001/165
Online adgang:	Full text available on IMF

Lignende værker

Emerging Market Sovereign Bond Spreads : Estimation and Back-testing /
af: Comelli, Fabio
Udgivet: (2012)

Determinants of Emerging Market Sovereign Bond Spreads : Fundamentals vs Financial Stress /
af: Petrova, Iva
Udgivet: (2010)

Sovereign Credit Ratings and Spreads in Emerging Markets : Does Investment Grade Matter? /
af: Jaramillo, Laura
Udgivet: (2011)

Determinants of Sovereign Bond Spreads in Emerging Markets : Local Fundamentals and Global Factors vs. Ever-Changing Misalignments /
af: Csonto, Balazs
Udgivet: (2013)

Resource Windfalls and Emerging Market Sovereign Bond Spreads : The Role of Political Institutions /
af: Arezki, Rabah
Udgivet: (2010)

Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries /
af: Yue, Zhanwei
Udgivet: (2004)

The Effects of Data Transparency Policy Reforms on Emerging Market Sovereign Bond Spreads /
af: Choi, Sangyup
Udgivet: (2017)

The Systemic Regulation of Credit Rating Agencies and Rated Markets /
af: Sy, Amadou
Udgivet: (2009)

Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets /
af: Chan-Lau, Jorge
Udgivet: (2004)

Sovereign Spreads : Global Risk Aversion, Contagion or Fundamentals? /
af: Segoviano, Miguel
Udgivet: (2010)

Islamic Bond Issuance : What Sovereign Debt Managers Need to Know /
af: Sy, Amadou
Udgivet: (2008)

International Sovereign Bonds by Emerging Markets and Developing Economies : Drivers of Issuance and Spreads /
af: Presbitero, Andrea
Udgivet: (2015)

On International Integration of Emerging Sovereign Bond Markets /
af: Agur, Itai
Udgivet: (2018)

Impact of country risk & sovereign credit rating on corporate bond yields of Singapore
af: Nath, Bappy Kumar
Udgivet: (2021)

Global Financial Spillovers to Emerging Market Sovereign Bond Markets /
af: Ebeke, Christian
Udgivet: (2015)

Sovereign Credit Ratings Methodology : An Evaluation /
af: Bhatia, Ashok
Udgivet: (2002)

Sovereign CDS Spreads in Europe : The Role of Global Risk Aversion, Economic Fundamentals, Liquidity, and Spillovers /
af: Heinz, Frigyes
Udgivet: (2014)

Rating the Rating Agencies : Anticipating Currency Crises or Debt Crises? /
af: Sy, Amadou
Udgivet: (2003)

Emerging Market Spreads : Then Versus Now /
af: Yafeh, Yishay
Udgivet: (2000)

Sovereign Spreads and Contagion Risks in Asia /
af: Unsal, Filiz
Udgivet: (2011)

Italian Sovereign Spreads : Their Determinants and Pass-through to Bank Funding Costs and Lending Conditions /
af: Zoli, Edda
Udgivet: (2013)

Sovereign Bond Restructuring : Collective Action Clauses and official Crisis Intervention /
af: Kletzer, Kenneth
Udgivet: (2003)

Sovereign Bond Prices, Haircuts and Maturity /
af: Asonuma, Tamon
Udgivet: (2017)

Are Credit Default Swaps Spreads High in Emerging Markets : An Alternative Methodology for Proxying Recovery Value /
af: Singh, Manmohan
Udgivet: (2003)

The Role of Mature Market Mutual Funds in Emerging Markets : Myth or Mayhem? /
af: Sy, Amadou
Udgivet: (2004)

How do Experts Forecast Sovereign Spreads? /
af: Cimadomo, Jacopo
Udgivet: (2016)

Emerging Market Spread Compression : Is it Real or is it Liquidity? /
af: Kodres, Laura
Udgivet: (2008)

Spatial Spillovers in Emerging Market Spreads /
af: Dell'Erba, Salvatore
Udgivet: (2011)

Issuing International Sovereign Bonds : Opportunities and Challenges for Sub-Saharan Africa /
af: Mecagni, Mauro
Udgivet: (2014)

Real Money Investors and Sovereign Bond Yields /
af: Jaramillo, Laura
Udgivet: (2013)

On the Determinants of First-Time Sovereign Bond Issues /
af: Grigorian, David
Udgivet: (2003)

The Nonlinear Relationship Between Public Debt and Sovereign Credit Ratings /
af: Hadzi-Vaskov, Metodij
Udgivet: (2019)

Foreign Currency Credit Ratings for Emerging Market Economies /
af: Perrelli, Roberto
Udgivet: (2001)

Interest Rate Spreads in the Eastern Caribbean /
af: Randall, Ruby
Udgivet: (1998)

Long-Term Returns in Distressed Sovereign Bond Markets : How Did Investors Fare? /
af: Andritzky, Jochen
Udgivet: (2019)

Correlations in Emerging Market Bonds : The Role of Local and Global Factors /
af: Hamann, A.
Udgivet: (2010)

Managing the Interest Rate Risk of Indian Banks' Government Securities Holdings /
af: Sy, Amadou
Udgivet: (2005)

Fiscal Deficits, Public Debt, and Sovereign Bond Yields /
af: Kumar, Manmohan
Udgivet: (2010)

Strategic Considerations for First-Time Sovereign Bond Issuers /
af: Polan, Magdalena
Udgivet: (2008)

Collective Action Clauses in Sovereign Bond Contracts : Encouraging Greater Use.
Udgivet: (2002)