TY - JOUR T1 - On the Comovement of Bond Yield Spreads and Country Risk Ratings JF - The Journal of Fixed Income SP - 100 LP - 103 DO - 10.3905/jfi.1999.319248 VL - 8 IS - 4 AU - Bert Scholtens AU - Ramon Tol Y1 - 1999/03/31 UR - https://pm-research.com/content/8/4/100.abstract N2 - This article investigates whether bond yield spreads are suitable for analyzing country risk. As bond prices and bond yields are determined in the secondary market, bond yields and their spreads vis-à-vis U.S. Treasuries may provide a more continuous and reliable information base than traditional measure of country risk. In more than a dozen countries, we study the association between the yield spread and the Institutional Investor country rating in the mid-1990s. Rank correlations show that bond yields are a good reflection of country risk. ER -