Macroeconomic effects on emerging-markets sovereign credit spreads

Clark, Ephraim A. and Kassimatis, Konstantinos (2015) Macroeconomic effects on emerging-markets sovereign credit spreads. Journal of Financial Stability, 20 . pp. 1-13. ISSN 1572-3089 [Article] (doi:10.1016/j.jfs.2015.06.002)

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This paper investigates the explanatory and forecasting power of macroeconomic fundamentals on emerging market sovereign credit spreads. We pay special attention to a new set of macroeconomic factors related to market values that reflect investor expectations concerning future economic performance. The model we propose captures a significant part of the empirical variation in spreads. Importantly, it also includes a powerful forecasting component that extends up to 12 months outside the sample period. The forward-looking variables that we construct are significant and complement and enhance the explanatory content of the conventional variables found in the extant literature.

Item Type: Article
Keywords (uncontrolled): Sovereign spreads; Credit risk; Country market value
Research Areas: A. > Business School > Accounting and Finance
Item ID: 17351
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Depositing User: Bernadett Dunn
Date Deposited: 06 Aug 2015 17:04
Last Modified: 31 May 2019 05:37

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