Emerging Market Bond Spreads and Sovereign Credit Ratings:Reconciling Market Views with Economic Fundamentals
By A. Sy. Social Science Research Network, 2001
169 citations recorded by the source corpus.
This paper uses a panel data estimation of a simple univariate model of sovereign spreads on ratings to analyze statistically significant deviations from the estimated relationship. We find evidence of an asymmetric adjustment of spreads and ratings when such deviations are significant. In addition, the paper illustrates how significant disagreements between market and rating agencies' views can be used as a signal that further technical and sovereign analysis is warranted. For instance, we find that spreads were "excessively low" for most emerging markets before the Asian crisis. More recently, spreads were "excessively high" for a number of emerging markets.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/2ca16e55463a980d05572d396390d1aa778fcf6c
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In Finance
- K. Kashiwase
- Rasha Alsakka
- L. Kodres
- Kristian J. Hartelius
- Owain ap Gwilym
- Tam Bayoumi
- O. Melander
- Paolo Pasquariello
Citations in the corpus
- Emerging Market Spread Compression: Is it Real or is it Liquidity? (2008, methodology): “11 Kaminsky et al. (2003) and Sy (2002) also refer to the importance of outlooks in their analysis of the spreads.”
- Credit Rating Agencies (2011, unknown): “48 Sy (2002).”
- Leads and lags in sovereign credit ratings. (2010, background): “Sy (2002) finds a similar negative relationship between sovereign spreads and emerging sovereign ratings.”
- The Dynamic Pricing of Sovereign Risk in Emerging Markets: Fundamentals and Risk Aversion (2008, unknown): “, 2002, Sy, 2002, Baek et al., 2005 and Diaz-Wiegel and Gemmill, 2006), the divergence in market and fundamental assessments on sovereign risk has become an increasingly worrying concern for policy makers and emerging market observers. Over the period from 2002 to 2006, the average spread on the EMB”