Emerging Market Bond Spreads and Sovereign Credit Ratings : Reconciling Market Views with Economic Fundamentals

Reconciling Market Views with Economic Fundamentals

Emerging Market Bond Spreads and Sovereign Credit Ratings : Reconciling Market Views with Economic Fundamentals
This paper uses a panel data estimation of a simple univariate model of sovereign spreads on ratings to analyze statistically significant deviations from the estimated relationship. We find evidence of an asymmetric adjustment of spreads and ratings when such deviations are significant. In addition, the paper illustrates how significant... READ MORE...

Publication date: October 2001
ISBN 9781451858051
$15.00

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