Empirical Determinants of Emerging Market Economies' Sovereign Bond Spreads

By G. Ferrucci. 2003

206 citations recorded by the source corpus.

Subfields: Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/926a55bbebebbe80d9b5d36572976ff44a207d27

How researchers see this paper

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In Finance

1. Heather D. Gibson
2. Stephen G. Hall
3. George S. Tavlas
4. Annalisa Ferrando
5. I. Bunda
6. Ioana Alexopoulou
7. J. Beirne
8. G. Trebeschi

In Strategy and Management

1. G. Trebeschi
2. Alessio Ciarlone
3. I. Bunda
4. Ioana Alexopoulou
5. E. Baldacci
6. Stephen G. Hall
7. J. Beirne
8. Amine Mati

Citations in the corpus

• Determinants of Emerging Market Sovereign Bond Spreads: Fundamentals vs Financial Stress (2010, unknown): “Our model extends the Ferrucci (2003) framework by incorporating a financial stress index, which attempts to capture the state of a country’s financial health.”
• Determinants of Government Bond Spreads in New EU Countries (2010, methodology): “, Ferrucci 2003 and, more recently, Ciarlone et al. 2007). 3. To be more precise, according to the long-term interest rates criterion, the member states under examination, over a period of one year before the examination, should have an average nominal long-term interest rate that does not exceed by”
• The Pricing of Sovereign Risk and Contagion During the European Sovereign Debt Crisis (2013, methodology): “Given the lack of availability of some of these variables at a monthly frequency, we follow the literature in this regards using standard interpolation (e.g. Hauner et al, 2010; Dell’Ariccia et al, 2006; Ferrucci, 2003).”
• Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt (2010, unknown): “Examples of this line of research include Edwards (1986), Eichengreen and Mody (1998), Min (1998), Beck (2001), and Ferrucci (2003), among others.”
• Is it (Still) Mostly Fiscal? Determinants of Sovereign Spreads in Emerging Markets (2008, background): “Some authors (for example, Ferrucci, 2003) cite political risk factors among the variables that likely explain the large residuals in bond spread regressions but they do not provide an empirical assessment of these residuals.”
• The Greek financial crisis: growing imbalances and sovereign spreads (2012, methodology): “Along the lines of Ferucci (2003), we use the longrun relationship to generate a series of spreads predicted by the macroeconomic fundamentals.”
• Emerging Markets Spreads and Global Financial Conditions (2009, background): “…(mainly US), as a measure of global liquidity conditions (Eichengreen and Mody, 1998a and 1998b; Kamin and Kleist, 1999; Arora and Cerisola, 2001; Ferrucci, 2003; Garcia-Herrero and Ortiz, 2005; Rozada and Levy Yeyati, 2005; Hoggarth and Yang, 2006); their volatility, as a measure of the…”