Emerging Market Sovereign Bond Spreads: Estimation and Back-testing

Working Paper No. 12/212

We estimate sovereign bond spreads of 28 emerging economies over the period January 1998-December 2011 and test the ability of the model in generating accurate in-sample predictions for emerging economies bond spreads. The impact and significance of country-specific and global explanatory variables on bond spreads varies across regions, as well... READ MORE...

Publication date: August 2012
ISBN 9781475505627

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Publication date: August 2012