The Long-Run Impact of Sovereign Yields on Corporate Yields in Emerging Markets /

We analyze the long-run impact of emerging-market sovereign bond yields on corporate bond yields, finding that the average pass-through is around one. The pass-through is larger in countries with greater sovereign risks and where sovereign bonds are more liquid. It is also greater for corporate bond...

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Bibliographic Details
Main Author: Li, Delong
Other Authors: Magud, Nicolas, Werner, Alejandro, Witte, Samantha
Format: Journal
Language:English
Published: Washington, D.C. : International Monetary Fund, 2021.
Series:IMF Working Papers; Working Paper ; No. 2021/155
Subjects:
Online Access:Full text available on IMF