RT Journal Article
SR Electronic
T1 Vulnerability of Emerging Markets to Global Shocks
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 77
OP 91
DO 10.3905/jfi.2007.695287
VO 17
IS 2
A1 Katia Rocha
A1 Roberto Siqueira
A1 Felipe Pinheiro
YR 2007
UL https://pm-research.com/content/17/2/77.abstract
AB 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