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On the Predictability of Emerging Market Sovereign Credit Spreads

Audzeyeva, Alena - 2020

This paper examines the quarter-ahead out-of-sample predictability of Brazil, Mexico, the Philippines and Turkey credit spreads before and after the Lehman Brothers' default. A model based on the country-specific credit spread curve factors predicts no better than the random walk and slope...

Persistent link: https://www.econbiz.de/10012856046

Commodity Cycles and Financial Instability in Emerging Economies

Andreev, Mikhail - 2019

Commodity-exporting economies display procyclicality with the price of commodity exports. However, the evidence for the relative importance of commodity price shocks for aggregate fluctuations remains inconclusive. Using Russian data from 2001-2018 we estimate a small open economy New Keynesian...

Persistent link: https://www.econbiz.de/10012858886

Immunity and Infection : Emerging and Developed Market Sovereign Spreads Over the Crisis

Cayon Fallon, Edgardo - 2015

In this study we trace changes in sovereign bond spreads over major phases of the recent international financial crisis for representative sovereign bond portfolios drawn from 43 countries, including 20 emerging economies. We extend upon traditional factor analyses and utilize propensity score...

Persistent link: https://www.econbiz.de/10013019436

Measuring Spillovers between the US and Emerging Markets

Fong, Tom - 2016

This paper evaluates the financial spillovers between the US and emerging market economies (EMEs) using the methodology advocated by Diebold and Yilmaz (2009). Based on (i) cross-asset returns of sovereign bond, equity, and foreign exchange, and (ii) 27 individual long-term sovereign bond...

Persistent link: https://www.econbiz.de/10012988496

Cross-Border Bank Lending During the Taper Tantrum : The Role of Emerging Market Fundamentals

Avdjiev, Stefan - 2014

Cross-border bank lending to emerging markets slowed sharply during the taper tantrum. The abruptness of this slowdown varied considerably across both lenders and borrowers. We use newly available data to explain the drivers of this cross-sectional variation. Although the initial tapering shock...

Persistent link: https://www.econbiz.de/10013047084

Sudden stops, sovereign risk, and fiscal rules

Gómez González, José Eduardo; Valencia, Oscar M.; … - 2021

This paper studies the effect of implementing fiscal rules on sovereign default risk and on the probability of large … that fiscal rules are beneficial for macroeconomic stability, as they significantly reduce both sovereign risk perception …

Persistent link: https://www.econbiz.de/10012586437

Interlinkages between External Debt Financing, Credit Cycles and Output Fluctuations in Emerging Market Economies

Verma, Akhilesh K; Sengupta, Rajeswari - 2021

We examine the role of external debt financing (EDF) in shaping the credit cycle and output fluctuations in nine major emerging economies. We show that sharp fluctuations in EDF flows are significantly associated with credit surge and stop episodes in emerging market economies (EMEs). However...

Persistent link: https://www.econbiz.de/10013217788

External Shocks, Cross Border Flows and Macroeconomic Risks in Emerging Market Economies

Verma, Akhilesh K; Goyal, Ashima; Sengupta, Rajeswari - 2021

autoregression models to show that volatility in global risk perception plays a larger role in channelizing cross border flows to … EMEs compared to the US monetary policy stance. Post GFC, EDS flows are particularly sensitive to shocks in global risk … that intensity of the association depends upon global risk uncertainty and that EDS flows present a larger macroeconomic …

Persistent link: https://www.econbiz.de/10013218383

Overshooting of Sovereign Emerging Eurobond Yields in the Context of COVID-19

Sene, Babacar; Mbengue, Mohamed Lamine; Allaya, Mouhamad M. - 2021

This paper illustrates the phenomenon of overshooting yields on eurobonds issued by emerging and developing countries in the context of COVID-19. Using panel data from 48 emerging and developing countries, the results show that daily reports of confirmed cases have led to increases in yields and...

Persistent link: https://www.econbiz.de/10013232585

Rise of Domestic Banks in EME Cross-border Credit Intermediation

Jiang, Bo; Xu, Douglas - 2021

While the volume of cross-border capital inflow to emerging market economies (EMEs) has been increasing since 1970s, the last three decades have witnessed a more pronounced change in the structure of these cross-border capital flows. In this paper, we document the rise of domestic global banks...

Persistent link: https://www.econbiz.de/10013251109