U.S. Interest Rates and Emerging Market Bond Yield Spreads: A Changing Relationship?

Posted: 6 Apr 2013

See all articles by Cheikh Anta Gueye

Cheikh Anta Gueye

International Monetary Fund (IMF)

Amadou Nicolas Racine Sy

International Monetary Fund (IMF) - International Capital Markets Department; Brookings Institution

Date Written: March 4, 2013

Abstract

The empirical evidence on the impact of international interest rates on emerging market (EM) bond spreads is mixed. In this article, we closely examine the 2000–2009 period and find a negative relationship between U.S. interest rates and EM bond spreads. We argue that the relationship between U.S. short rates and EM bond spreads is unstable and can change depending on how other “push” and “pull” factors, such as investors’ appetite for risk and emerging markets’ economic fundamentals, interact.

Keywords: bond spreads, emerging markets, push and pull factors, interest rates, spreads, US

JEL Classification: G1, G15

Suggested Citation

Gueye, Cheikh Anta and Sy, Amadou Nicolas Racine, U.S. Interest Rates and Emerging Market Bond Yield Spreads: A Changing Relationship? (March 4, 2013). Journal of Fixed Income, Vol. 22, No. 4, 2013, Available at SSRN: https://ssrn.com/abstract=2245197

Cheikh Anta Gueye

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Amadou Nicolas Racine Sy (Contact Author)

International Monetary Fund (IMF) - International Capital Markets Department ( email )

700 19th Street NW
Room 9-548
Washington, DC 20431
United States
202-623-8651 (Phone)
202-589-8561 (Fax)

Brookings Institution ( email )

1775 Massachusetts Ave, NW
Washington, DC 20036
United States

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