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The Journal of Fixed Income

The Journal of Fixed Income

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Vulnerability of Emerging Markets to Global Shocks

The Role of Debt and Governance on Sovereign Spreadsδ

Katia Rocha, Roberto Siqueira and Felipe Pinheiro
The Journal of Fixed Income Fall 2007, 17 (2) 77-91; DOI: https://doi.org/10.3905/jfi.2007.695287
Katia Rocha
An economist at the Institute for Applied Economic Research (IPEA) of the Brazilian Government in Rio de Janeiro, Brazil.
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  • For correspondence: katia.rocha@ipea.gov.br
Roberto Siqueira
An economist at the Institute for Applied Economic Research (IPEA) of the Brazilian Government in Rio de Janeiro, Brazil.
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  • For correspondence: roberto.siqueira@ipea.gov.br
Felipe Pinheiro
An economist of emerging markets research at Credit Suisse in São Paulo, Brazil.
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  • For correspondence: felipe.pinheiro@credit-suisse.com
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Abstract

The determinants of 24 emerging markets sovereign spreads from 1998 to 2006 are analyzed using a panel data model, which determines the countries' vulnerability to global risk shocks. Total Government Debt/GDP and governance indicators successfully explained the level and sensitiveness of all sovereign spreads. While supporting the assertion that global liquidity and low risk aversion have been the main drivers of the general fall on spreads after 2003, the vulnerability of emerging markets to external shocks are country specific and can be mitigated by improving Government debt and governance.

TOPICS: Fixed income and structured finance, emerging markets, legal and regulatory issues for structured finance

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Vulnerability of Emerging Markets to Global Shocks
Katia Rocha, Roberto Siqueira, Felipe Pinheiro
The Journal of Fixed Income Sep 2007, 17 (2) 77-91; DOI: 10.3905/jfi.2007.695287

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Vulnerability of Emerging Markets to Global Shocks
Katia Rocha, Roberto Siqueira, Felipe Pinheiro
The Journal of Fixed Income Sep 2007, 17 (2) 77-91; DOI: 10.3905/jfi.2007.695287
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