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What explains changing spreads on emerging-market debt : fundamentals or market sentiment?

Author: Barry J Eichengreen; Ashoka Mody; National Bureau of Economic Research.
Publisher: Cambridge, MA : National Bureau of Economic Research, ©1998.
Series: Working paper series (National Bureau of Economic Research), working paper no. 6408.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Abstract: In this paper we analyze data on nearly 1,000 developing-country bonds issued in the years 1991-96 the recent episode of heavy reliance on bonded debt. We analyze both the issue decision of debtors and the pricing decision of investors, minimizing selectivity bias by treating the two issues jointly. Overall, the results confirm that higher credit quality translates into a higher probability of issue and a  Read more...
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Additional Physical Format: Print version:
Eichengreen, Barry J.
What explains changing spreads on emerging-market debt.
Cambridge, MA : National Bureau of Economic Research, ©1998
(OCoLC)38843141
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Barry J Eichengreen; Ashoka Mody; National Bureau of Economic Research.
OCLC Number: 647161575
Reproduction Notes: Electronic reproduction. [S.l.] : HathiTrust Digital Library, 2010. MiAaHDL
Description: 1 online resource (45 pages) : illustrations.
Details: Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Series Title: Working paper series (National Bureau of Economic Research), working paper no. 6408.
Responsibility: Barry Eichengreen, Ashoka Mody.

Abstract:

Abstract: In this paper we analyze data on nearly 1,000 developing-country bonds issued in the years 1991-96 the recent episode of heavy reliance on bonded debt. We analyze both the issue decision of debtors and the pricing decision of investors, minimizing selectivity bias by treating the two issues jointly. Overall, the results confirm that higher credit quality translates into a higher probability of issue and a lower spread. Importantly, however, we find that observed changes in fundamentals explain only a fraction of the spread compression in the period leading up to the recent crisis in emerging markets.

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