Guler, Halil and Talasli, Anil (2012): Determinants Of Sovereign Bond Spreads A Comparative Analysis During The Global Financial Crisis.
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Abstract
The main focus of this paper is to examine the effect of the recent global financial crisis on emerging countries’ borrowing costs by implementing a panel data analysis. We propose an empirical assessment over the period 2006-2010 for seven selected emerging countries including Turkey. It is crucial for countries to investigate the determinants of borrowing costs which actively use international markets actively to access external financing. The determinants of borrowing costs can be classified into two groups: i) investors’ risk appetite, ii) country specific macroeconomic fundamentals. The dataset is divided into two sub-groups to identify the relative effect of the global crisis on different emerging economies; the first sub-group covers 2006Q1-2008Q2 period while the second group consists of 2008Q3-2010Q2. The results indicate that the most significant determinants of sovereign bond spreads are the risk appetite and yields on alternative instruments. The paper also presents country specific analyses of the actual and fitted borrowing costs to derive whether a country’s bond spread is overpriced or not.
Item Type: | MPRA Paper |
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Original Title: | Determinants Of Sovereign Bond Spreads A Comparative Analysis During The Global Financial Crisis |
Language: | English |
Keywords: | Sovereign spread, emerging markets, government bond spreads, market sentiment, fundementals. |
Subjects: | F - International Economics > F3 - International Finance > F34 - International Lending and Debt Problems G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates |
Item ID: | 51009 |
Depositing User: | Mr Anil Talasli |
Date Deposited: | 28 Oct 2013 18:21 |
Last Modified: | 27 Sep 2019 08:04 |
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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/51009 |
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