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Sovereign Credit Ratings and Spreads in Emerging Markets : Does Investment Grade Matter ?
| Content Provider | Semantic Scholar |
|---|---|
| Author | Jaramillo, Laura Tejada, Catalina Michelle |
| Copyright Year | 2011 |
| Abstract | Sovereign investment grade status is often associated with lower spreads in international markets. Using a panel framework for 35 emerging markets between 1997 and 2010, this paper finds that investment grade status reduces spreads by 36 percent, above and beyond what is implied by macroeconomic fundamentals. This compares to a 5-10 percent reduction in spreads following upgrades within the investment grade asset class, and no impact for movements within the speculative grade asset class, ceteris paribus. While global financial conditions play a central role in determining spreads, market sentiment improves with lower external public debt to GDP levels and higher domestic growth rates. JEL Classification Numbers: E44, F30, F34, G15, H63 |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | https://www.imf.org/external/pubs/ft/wp/2011/wp1144.pdf |
| Alternate Webpage(s) | http://asianbondsonline.adb.org/publications/external/2011/Sovereign_Credit_Ratings_and_Spreads_in_Emerging_Markets_IMF_Working_Paper_March_2011.pdf |
| Language | English |
| Access Restriction | Open |
| Subject Keyword | Space: Above and Beyond Speculative execution |
| Content Type | Text |
| Resource Type | Article |
