Global Factors and Emerging Market Spreads*
发现新兴市场债券利差的时间波动很大程度上由风险偏好、全球流动性和系统性事件传染等全球因素解释，且这一关系在加入国别因素后依然稳健，有助于长期预测。
This article shows that a large fraction of the time variability of emerging market bond spreads is explained by the evolution of global factors such as risk appetite, global liquidity and contagion from systemic events such as the Russian default. This link is robust to the inclusion of country-specific factors and helps to provide accurate long-run predictions. By contrast, changes in credit ratings appear to lag spread movements and elicit little additional effect on the pricing of emerging market debt. The results highlight the critical role played by exogenous factors in the evolution of borrowing costs faced by emerging economies. Copyright © The Author(s). Journal compilation © Royal Economic Society 2008.