Understanding emerging market sovereign bond yield spread: role of default and non-default determinants / Adelia Surya Pratiwi
Adelia Surya Pratiwi;
(Ministry of Finance Republic of Indonesia, Centre of Macroeconomic Policy, 2015)
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| This paper is motivated by the fact that emerging market assets size has been expanding and tryingto use sovereign debt market as part of capital market as main research focus. It is highlightingthe distinction between default and non-default determinants and examining their significance inexplaining emerging market sovereign bond yield spread. Using Cross-Sectional Fixed-Effect PanelEstimator, we found that both default (as proxied by Credit Rating and Outlook Index) and non-default(as proxied by 3-month Fed Funds Futures) determinants has significant explanatory power tosovereign bond yield spread. Extensively, we also found the significance to add volatility of 3-monthFed Funds Futures and Fed Target Rate basis and volatility of advanced stock markets as variablesto stand for non-default determinants in the model. The significance of the latter model is strengthenedby higher forecasting as well as indicates the significant role of US market to emerging marketsovereign bond market. |
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| Penerbitan : | [Place of publication not identified]: Ministry of Finance Republic of Indonesia, Centre of Macroeconomic Policy, 2015 |
| Sumber Pengatalogan : | LibUI eng rda |
| ISSN : | 23563818 |
| Majalah/Jurnal : | Indonesian Capital Market Review |
| Volume : | Vol 7 No 1 January 2015 |
| Tipe Konten : | text |
| Tipe Media : | computer |
| Tipe Carrier : | online resource |
| Akses Elektronik : | http://journal.ui.ac.id/index.php/icmr/article/view/4357 |
| Institusi Pemilik : | Universitas Indonesia |
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