Determinants of Spread and Creditworthiness for Emerging Market Sovereign Debt:A Panel Data Study

By P. Rowland, José L. Torres. 2004

125 citations recorded by the source corpus.

This study uses a panel-data framework to identify the determinants of the spread over US Treasuries of emerging market sovereign issues as well as of the creditworthiness of the issuers, where the latter is represented by the Institutional Investor’s creditworthiness index. We use a sample of 16 emerging market economies, together with time series data for the period 1998 to 2002 when analysing the spread, and from 1987 to 2001 when analysing the creditworthiness. The results suggest that for both the spread and the creditworthiness, significant explanatory variables include the economic growth rate, the debt-to-GDP ratio, the reserves-to-GDP ratio, and the debt-to-exports ratio. In addition, the spread is also determined by the exports-to-GDP ratio, and the debt service to GDP, while the creditworthiness is influenced by the inflation rate and a default dummy variable.

View Paper: https://www.semanticscholar.org/paper/54c79589d065d3cc441ec693e7d2d1838e658e88

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Citations in the corpus

• Determinants of sovereign yield spreads in the Eurozone: A Bayesian approach (2012, background): “Examples of papers that employ panel data on developing countries’ secondary market yield spreads are: Baldacci et al. (2008), Dailami et al. (2005), Hilscher and Nosbusch (2010), and Rowland and Torres (2004).”
• Sovereign Bonds and the “Democratic Advantage”: Does Regime Type Affect Credit Rating Agency Ratings in the Developing World? (2007, background): “The importance of bond financing for developing countries is evident if one examines the amount of finance developing countries receive through the bond markets+ Over the past decade there has been an explosion in bonds purchased by foreign investors in the developing world+ As Figure 1 demonstrates”
• Bond Yields in Emerging Economies: It Matters What State You are in (2012, unknown): “…debt service or current account (Cantor and Packer, 1996; Edwards, 1984); fiscal variables, like fiscal debt and deficits (Cantor and Packer, 1996; Rowland and Torres, 2004) or their composition (Akitoby and Stratmann, 2008); and other macroeconomic variables like inflation, the terms of trade…”