The evolution and determinants of emerging markets credit spreads in the 1990s by Steven Kamin

Cover of: The evolution and determinants of emerging markets credit spreads in the 1990s | Steven Kamin

Published by Bank for International Settlements, Monetary and Economic Dept. in Basle, Switzerland .

Written in English

Read online

Places:

  • Developing countries

Subjects:

  • Credit -- Developing countries -- Econometric models.,
  • Bond market -- Developing countries -- Econometric models.,
  • Finance -- Developing countries -- Econometric models.

Edition Notes

Book details

Statementby Steven B. Kamin and Karsten von Kleist.
SeriesBIS working papers,, no. 68, BIS working papers (Online) ;, no. 68.
ContributionsKleist, Karsten E. B. von., Bank for International Settlements. Monetary and Economic Dept.
Classifications
LC ClassificationsHG3879
The Physical Object
FormatElectronic resource
ID Numbers
Open LibraryOL3285872M
LC Control Number2003616660

Download The evolution and determinants of emerging markets credit spreads in the 1990s

THE EVOLUTION AND DETERMINANTS OF EMERGING MARKET CREDIT SPREADS IN THE s by Steven B Kamin and Karsten von Kleist * Abstract This paper develops measures of emerging market credit spreads for the s, based on data on new bond issues and bank loans, that cover a broader range ofCited by:   The evolution and determinants of emerging markets credit spreads in the s.

This paper develops measures of emerging market credit spreads for the s, based on data on new bond issues and bank loans, that cover a broader range of borrowers than the Brady bond spreads most commonly used to date.

These measures are used to identify the impacts of credit ratings, maturity and currency denomination on by: Get this from a library.

The evolution and determinants of emerging market credit spreads in the s. [Steven Kamin; Karsten von Kleist; Bank for International Settlements. Monetary. The Evolution and Determinants of Emerging Market Credit Spreads in the s.

THE EVOLUTION AND DETERMINANTS OF EMERGING MARKET CREDIT SPREADS IN THE s Steven B. Kamin and Karsten von Kleist* Abstract: This paper develops measures of emerging market credit spreads for the s, based on data on new bond issues and bank loans, that cover a broader range of borrowers than the Brady bond spreads most commonly used to date.

We also identify the evolution of spreads during the s up until the advent of the Asian financial crisis, holding other determinants constant, and find that emerging market spreads declined by more than can be explained by improvements in risk.

The evolution and determinants of emerging market credit spreads in the s This paper develops measures of emerging market credit spreads for the s, based on data on new bond issues and bank loans, that cover a broader range of borrowers than the Brady bond spreads most commonly used to date.

This paper develops measures of emerging market credit spreads for the s, based on data on new bond issues and bank loans, that cover a broader range of borrowers than the Brady bond spreads most commonly used to date. These measures are used to identify the impacts of credit ratings, maturity and currency denomination on spreads.

In this paper the empirical determinants of emerging market sovereign bond spreads are estimated, using a ragged-edge panel of JP Morgan EMBI and EMBI Global secondary market spreads and a set of common macro-prudential indicators.

The panel is estimated using the pooled mean group technique of Pesaran, Shin and Smith. This paper investigates the empirical determinants of emerging market sovereign bond spreads, using a ragged-edge panel of JP Morgan EMBI and EMBI Global secondary market spreads and a set of common macro-prudential indicators.

The panel is estimated using the pooled mean group technique due to Pesaran, Shin and Smith (). The Evolution and Determinants of Emerging Market Credit Spreads in the s by Steven B.

Kamin of the Bank for International Settlements, and Karsten von Kleist of the Bank for International Settlements November   Min investigates what determines bond spreads in emerging markets in the s.

He finds that strong macroeconomic fundamentals in a country-such as low domestic inflation rates, improved terms of trade, and increased foreign assets-are associated with lower yield spreads. The early s was marked by a heavy reliance on bonded debt in emerging markets.

Fig. 1 shows that the value of sovereign bonds issued by these nations skyrocketed from a modest level of less than $17 billion in the s to more than $ billion by the end of (Bank of International Settlements, ).Ever since, assessing the risk characteristics of emerging nations’ borrowing in.

Spreads and risk in emerging market lending. The evolution and determinants of emerging market credit spreads in the s. The impact of news on the exchange rate of lira and long-term interest rates. The impact of policy announcements and news on capital markets: crisis management in Argentina during the.

The aim of the paper is to explain the determinants of emerging market sovereign CDS spreads in the light of European debt crisis. There are two important types of factors that determined the evolution of sovereign CDS spreads: global, which equally affected all emerging markets and country- specific factors, which reflect the economic fundamentals of the countries.

The Evolution of Emerging Markets The complexion of emerging-markets stocks has changed dramatically over the past 10 years and will continue to do so.

Ben Johnson, CFA. The Evolution and Determinants of Emerging Market Credit Spreads in the s. book-to-market, profitability, equity-volatility, and distance-to-default. This paper develops measures of. The Evolution and Determinants of Emerging Market Credit Spreads in the s.

Steven B. Kamin, Karsten von Kleist; Economics; ; VIEW 3 EXCERPTS. HIGHLY INFLUENTIAL. Should IMF loans carry stigma. Foreign Policy, (December) LTD, West Smesex, England; Cato Jour. The Evolution and Determinants of Emerging Market Credit Spreads in the s.

By Steven B. Kamin and Karsten Von Kleist. The Pricing of Bonds and Bank Loans in International Markets: an Empirical Analysis of Developing Countries' Foreign Borrowing The Evolution and Determinants of Emerging Markets Credit Spreads in the s. The Evolution and Determinants of Emerging Market Credit Spreads in the s.

BIS Working Pap 1–33 () Google Scholar 8. Ferrucci, G.: Empirical Determinants of Emerging Market Economies Sovereign Bond Spreads. Despite recent turmoil, spreads on emerging market countries' sovereign bonds have fallen dramatically since mid Some have attributed the fall to improved economic fundamentals while others to ample global liquidity.

The paper models spreads and attempts to empirically distinguish between the two factors. The results indicate that fundamentals, as embedded in credit ratings, are very. "The evolution and determinants of emerging market credit spreads in the s," International Finance Discussion PapersBoard of Governors of the Federal Reserve System (U.S.).

Roberto Perrelli & Christian B. Mulder, "Foreign Currency Credit Ratings for Emerging Market Economies," IMF Working Papers 01/, International Monetary Fund. The Evolution and Determinants of Emerging Market Credit Spreads in the s”, working paper No.

68, Bank for International Settlements. The Great Moderation”, remarks at the meetings of Eastern Economics Association. BibTeX @INPROCEEDINGS{Kamin99theevolution, author = {Steven B. Kamin and Karsten Von Kleist and Steven B. Kamin and Karsten Von Kleist}, title = {The evolution and determinants of emerging market credit spreads}, booktitle = {Bank for International Settlements}, year = {}, pages = {}}.

“The Evolution and Determinants of Emerging Market Credit Spreads in the s.” International Finance Discussion Papers Washington, DC: Board of Governors of the Federal Reserve System (). Using a panel of 46 emerging market economies from tothis paper investigates the key determinants of country risk premiums as measured by sovereign bond spreads.

Unlike previous studies, the results indicate that both political and fiscal factors matter for credit risk in emerging markets. We examine changes in bank credit across a wide range of emerging market economies during the last decade.

The rich time-series and cross-section information allows us to draw broader lessons compared to many existing researches, which focus on a specific set of emerging market economies or on shorter time periods.

Our results show that domestic and foreign funding. Emerging market FSI also tends to be larger than advanced countries FSI particularly in the s. This may reflect the fact that emerging market economies experienced more financial crises and therefore greater financial stress in the s.

Download: Download full-size image; Fig. Advanced and emerging markets financial stress index and. We also identify the evolution of spreads during the s up until the advent of the Asian financial crisis, holding other determinants constant, and find that emerging market spreads declined by.

The evolution and determinants of emerging markets credit spreads in the s. Mellios, C., & Paget-Blanc, E. Which factors determine sovereign credit ratings?. The evolution and determinants of emerging market credit spreads in the s, BIS Working Papers No [16] Larraín G., Reisen H., von Maltzan J.

Emerging market risk and sovereign credit ratings, OECD Technical Papers No Among empirical papers based on corporate bonds issued in the U.S., Collin-Dufresne, Goldstein and Martin (), and Delianedis and Geske () divided the determinants of credit spreads into. The Determinants of Sovereign Bond Credit Spreads Changes.

unpublished paper, (). The Evolution and Determinants of Emerging Market Credit Spreads in the s." BIS Working papers (). determinants of emerging market sovereign bon d spreads, while in the short run, financial volatility is a more importan t determinant of sperads th an fundamentals indicators.

JEL Classification. Steven B. Kamin & K von Kleist, "The evolution and determinants of emerging markets credit spreads in the s," BIS Working Pap Bank for International Settlements.

repec:hal:journl:peer is not listed on IDEAS Richard Cantor & Frank Packer, The Evolution and Determinates of Emerging Market Credit Spreads in the s. BIS Working Paper 68 Bank for International Settlements (BIS) Fitting the term structure of interest rates with a. The credit rating industry, Federal Reserve Bank of New York, Quarterly Review, Summer-Fall ().

The evolution and determinants of emerging market credit spreads in the s, BIS Working Papers No (). Sinceemerging markets have been enjoying an extremely favorable economic climate, generated by high global liquidity. In the beginning of the excess of liquidity and the overall positive economic performance of these countries led to the lowest sovereign spreads in history, measured by the JPMorgan Emerging Markets Bond Index Global–EMBIG 1, falling below basis.

private sector in emerging paper analyzes the effects of these spillovers using firm-level data from 31 emerging market economies.

We assess how sovereign risk affects corporate access to international capital markets, in the form of external credit. "Many emerging market economies experienced a remarkable decline in inflation rates over the last two decades, after years of seemingly intractable high inflation.

Ha, Kose, and Ohnsorge offer the first book-length analysis of this remarkable achievement, asking how it happened, what it tells us about best policy frameworks, and whether it will.

A number of studies have stressed the role of movements in US interest rates and country spreads in driving business cycles in emerging market economies.

At the same time, country spreads have been found to respond to changes in both the US interest rate and domestic conditions in emerging markets.

These intricate interrelationships leave open a number of fundamental questions: Do country.significant determinants of emerging market sovereign bond spreads in the long run and financial volatility is a more important determinant of spreads than fundamentals indicators in the short run.

Siklos () examines the determinants of emerging markets bond yield spreads by using domestic, external and global factors with   The Global Crisis hit sovereign credit ratings in very different ways.

This column discusses research into the determinants of emerging markets’ sovereign credit-default swap spreads from to The key factors are trade openness and state fragility in the pre-Crisis period, external debt/GDP ratio and inflation in the Crisis period, and inflation and public debt/GDP.

17269 views Sunday, December 6, 2020