CEU Electronic Theses and Dissertations, 2008
| Author | Khmurets, Aliaksei Michailavich |
|---|---|
| Title | Determinants of Sovereign Bond Spreads in Emerging Markets: Recent Empirical Evidence |
| Summary | The thesis analyses the behavior of emerging market sovereign bond spreads over the period 1997-2008; in particular, the effect of the credit market crisis, which started in August 2007, is emphasized. For purposes of analysis the daily and quarterly data sets are used. Conventional panel data methods with a special attention to the time series properties of the variables are employed for the quarterly data set; panel error correction model is estimated using the daily data. The results suggest that controlling for the country-specific and market characteristics, the effect of the recent crisis was stronger than that of any crisis since 1997, contrary to the common opinion that emerging markets remained mostly unaffected by the credit crunch. The investment grade countries are shown to be both less susceptible to the short run market fluctuations and to have lower level of spreads in the long run, even after controlling for the credit rating. |
| Supervisor | Alessia, Campolmi |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2008/khmurets_aliaksei.pdf |
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