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

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dc.contributor.authorDailami, Mansoor
dc.contributor.authorMasson, Paul R.
dc.contributor.authorPadou, Jean Jose
dc.date.accessioned2012-06-15T21:39:42Z
dc.date.available2012-06-15T21:39:42Z
dc.date.issued2005-06
dc.description.abstractThe authors offer evidence that U.S. interest rate policy has an important influence in the determination of credit spreads on emerging market bonds over U.S. benchmark treasuries and therefore on their cost of capital. Their analysis improves on the existing literature and understanding by addressing the dynamics of market expectations in shaping views on interest rate and monetary policy changes and by recognizing nonlinearities in the link between U.S. interest rates and emerging market bond spreads, as the level of interest rates affect the market's perceived probability of default and the solvency of emerging market borrowers. For a country with a moderate level of debt, repayment prospects would remain good in the face of an increase in U.S. interest rates, so there would be little increase in spreads. A country close to the borderline of solvency would face a steeper increase in spreads. Simulations of a 200 basis points (bps) increase in U.S. interest rates show an increase in emerging market spreads ranging from 6 bps to 65 bps, depending on debt/GDP ratios. This would be in addition to the increase in the benchmark U.S. 10 year Treasury rate.en
dc.identifierhttp://documents.worldbank.org/curated/en/2005/06/5846847/global-monetary-conditions-versus-country-specific-factors-determination-emerging-market-debt-spreads
dc.identifier.doi10.1596/1813-9450-3626
dc.identifier.urihttps://hdl.handle.net/10986/8224
dc.languageEnglish
dc.publisherWorld Bank, Washington, DC
dc.relation.ispartofseriesPolicy Research Working Paper; No. 3626
dc.rightsCC BY 3.0 IGO
dc.rights.holderWorld Bank
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/igo/
dc.subjectABATEMENT
dc.subjectAUTOREGRESSION
dc.subjectBALANCE OF PAYMENTS
dc.subjectBANK LOANS
dc.subjectBANK OF ENGLAND
dc.subjectBENCHMARK
dc.subjectBONDS
dc.subjectBORROWING
dc.subjectBUSINESS CYCLES
dc.subjectCAPITAL FLOWS
dc.subjectCAPITAL MARKETS
dc.subjectCONTAGION
dc.subjectCOST OF CAPITAL
dc.subjectCREDIT RISK
dc.subjectDEBT
dc.subjectDEVALUATION
dc.subjectDEVELOPMENT ECONOMICS
dc.subjectECONOMETRICS
dc.subjectECONOMIC ACTIVITY
dc.subjectECONOMIC OUTLOOK
dc.subjectECONOMIC RESEARCH
dc.subjectEMERGING MARKET ECONOMIES
dc.subjectEMERGING MARKETS
dc.subjectEMPIRICAL ANALYSIS
dc.subjectEQUATIONS
dc.subjectEQUILIBRIUM
dc.subjectEXCHANGE RATE
dc.subjectEXPECTED RETURN
dc.subjectEXPORTS
dc.subjectFEDERAL RESERVE SYSTEM
dc.subjectFINANCIAL CRISES
dc.subjectFINANCIAL MARKETS
dc.subjectFINANCIAL STABILITY
dc.subjectFORECASTS
dc.subjectFOREIGN EXCHANGE
dc.subjectGAME THEORY
dc.subjectGDP
dc.subjectGLOBAL INTEREST
dc.subjectIMPORTS
dc.subjectINCOME
dc.subjectINFLATION
dc.subjectINTEREST RATE
dc.subjectINTEREST RATES
dc.subjectLEADING INDICATORS
dc.subjectLIQUIDITY
dc.subjectM1
dc.subjectM2
dc.subjectMACROECONOMIC CONDITIONS
dc.subjectMACROECONOMIC MODELS
dc.subjectMACROECONOMICS
dc.subjectMARKET ECONOMIES
dc.subjectMARKET PRICES
dc.subjectMATURITIES
dc.subjectMONETARY POLICY
dc.subjectMONEY SUPPLY
dc.subjectNATIONAL INCOME
dc.subjectOIL
dc.subjectPROBABILITY OF DEFAULT
dc.subjectPROGRAMS
dc.subjectRESERVES
dc.subjectRISK NEUTRAL
dc.subjectSECURITIES
dc.subjectSOLVENCY
dc.subjectSUSTAINABILITY
dc.subjectTIME SERIES
dc.titleGlobal Monetary Conditions versus Country-Specific Factors in the Determination of Emerging Market Debt Spreadsen
dspace.entity.typePublication
okr.crossref.titleGlobal Monetary Conditions Versus Country-Specific Factors In The Determination Of Emerging Market Debt Spreads
okr.date.disclosure2005-06-07
okr.date.doiregistration2025-04-10T10:45:47.407063Z
okr.doctypePublications & Research::Policy Research Working Paper
okr.doctypePublications & Research
okr.docurlhttp://documents.worldbank.org/curated/en/2005/06/5846847/global-monetary-conditions-versus-country-specific-factors-determination-emerging-market-debt-spreads
okr.globalpracticeFinance and Markets
okr.guid700491468328562002
okr.identifier.doi10.1596/1813-9450-3626
okr.identifier.externaldocumentum000012009_20050607125603
okr.identifier.internaldocumentum5846847
okr.identifier.reportWPS3626
okr.language.supporteden
okr.pdfurlhttp://www-wds.worldbank.org/external/default/WDSContentServer/WDSP/IB/2005/06/07/000012009_20050607125603/Rendered/PDF/wps36260rev.pdfen
okr.topicEconomic Theory and Research
okr.topicBanks and Banking Reform
okr.topicInsurance and Risk Mitigation
okr.topicFinance and Financial Sector Development::Financial Intermediation
okr.topicEnvironmental Economics and Policies
okr.unitDevelopment Research Group (DECRG)
okr.volume1 of 1
relation.isSeriesOfPublication26e071dc-b0bf-409c-b982-df2970295c87
relation.isSeriesOfPublication.latestForDiscovery26e071dc-b0bf-409c-b982-df2970295c87
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