Emerging Market Spreads: Then Versus Now

54 Pages Posted: 4 Jan 2001

See all articles by Yishay Yafeh

Yishay Yafeh

Hebrew University of Jerusalem - Jerusalem School of Business Administration; European Corporate Governance Institute (ECGI); Centre for Economic Policy Research (CEPR)

Nathan Sussman

Graduate Institute Geneva, Centre for Finance and Development

Paolo Mauro

International Monetary Fund (IMF)

Multiple version iconThere are 3 versions of this paper

Date Written: September 2000

Abstract

This paper analyzes yield spreads on sovereign debt issued by emerging markets using modern data from the 1990s and newly-collected historical data on debt traded in London during 1870-1913, a previous "golden era" for international capital market integration. Applying several empirical approaches, we show that the co-movement of spreads across emerging markets is higher today than it was in the historical sample. We also show that sharp changes in spreads today tend to be mostly related to global events, whereas country-specific events played a bigger role in 1870-1913. Although we find some evidence that economic fundamentals, too, co-move more strongly today than at that time, our interpretation of the results is that today's investors pay less attention to country-specific events than their predecessors did in 1870-1913.

Suggested Citation

Yafeh, Yishay and Sussman, Nathan and Mauro, Paolo, Emerging Market Spreads: Then Versus Now (September 2000). Available at SSRN: https://ssrn.com/abstract=255309 or http://dx.doi.org/10.2139/ssrn.255309

Yishay Yafeh (Contact Author)

Hebrew University of Jerusalem - Jerusalem School of Business Administration ( email )

Mount Scopus
Jerusalem 91905
Israel
+972 2 588 3081 (Phone)
+972 2 588 1341 (Fax)

HOME PAGE: http://bschool.huji.ac.il/facultye/yafeh/

European Corporate Governance Institute (ECGI)

c/o the Royal Academies of Belgium
Rue Ducale 1 Hertogsstraat
1000 Brussels
Belgium

HOME PAGE: http://www.ecgi.org

Centre for Economic Policy Research (CEPR)

London
United Kingdom

Nathan Sussman

Graduate Institute Geneva, Centre for Finance and Development ( email )

Switzerland

HOME PAGE: http://https://graduateinstitute.ch/academic-departments/faculty/nathan-sussman

Paolo Mauro

International Monetary Fund (IMF) ( email )

700 19th Street NW
Washington, DC 20431
United States

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