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Article

U.S. Interest Rates and Emerging Market Bond
Yield Spreads: A Changing Relationship?

Cheikh A. Gueye and Amadou N.R. Sy
The Journal of Fixed Income Spring 2013, 22 (4) 48-52; DOI: https://doi.org/10.3905/jfi.2013.22.4.048
Cheikh A. Gueye
is a senior economist in the African Department of the International Monetary Fund in Washington, DC.
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  • For correspondence: cgueye2@imf.org
Amadou N.R. Sy
is a deputy division chief in the Monetary and Capital Markets Department of the International Monetary Fund in Washington, DC.
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  • For correspondence: asy@imf.org
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Abstract

The empirical evidence on the impact of international interest rates on emerging market (EM) bond spreads is mixed. In this article, we closely examine the 2000–2009 period and find a negative relationship between U.S. interest rates and EM bond spreads. We argue that the relationship between U.S. short rates and EM bond spreads is unstable and can change depending on how other “push” and “pull” factors, such as investors’ appetite for risk and emerging markets’ economic fundamentals, interact.

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The Journal of Fixed Income: 22 (4)
The Journal of Fixed Income
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U.S. Interest Rates and Emerging Market Bond
Yield Spreads: A Changing Relationship?
Cheikh A. Gueye, Amadou N.R. Sy
The Journal of Fixed Income Mar 2013, 22 (4) 48-52; DOI: 10.3905/jfi.2013.22.4.048

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U.S. Interest Rates and Emerging Market Bond
Yield Spreads: A Changing Relationship?
Cheikh A. Gueye, Amadou N.R. Sy
The Journal of Fixed Income Mar 2013, 22 (4) 48-52; DOI: 10.3905/jfi.2013.22.4.048
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