Determinants of emerging-market bond spreads: Cross-country evidence

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This paper investigates the importance of liquidity and solvency variables in determining bond spreads in emerging economies. First, we find that liquidity and solvency variables explain most of the spread variations in 11 emerging economies during the 1990s. Second, the U.S. interest rate and macroeconomic fundamentals play a significant role for the determination of bond spreads of emerging economies. Third, it is shown that Latin countries have a negative yield-maturity relationship. © 2003 Elsevier Inc. All rights reserved.
Publisher
Elsevier
Issue Date
2003-12
Language
English
Citation

GLOBAL FINANCE JOURNAL, v.14, no.3, pp.271 - 286

ISSN
1044-0283
URI
http://hdl.handle.net/10203/250961
Appears in Collection
RIMS Journal PapersMG-Journal Papers(저널논문)
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