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Saturday, July 11, 2020 | History

4 edition of The evolution and determinants of emerging markets credit spreads in the 1990s found in the catalog.

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

Steven Kamin

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

by Steven Kamin

  • 344 Want to read
  • 28 Currently reading

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

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

    • Edition Notes

      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

        Using a panel of 46 emerging market economies from to , this 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. 2a. 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


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The evolution and determinants of emerging markets credit spreads in the 1990s by Steven Kamin Download PDF EPUB FB2

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.