Arbeitspapier
The determinants of corporate risk in emerging markets: An option-adjusted spreads analysis
This study explores the determinants of corporate bond spreads in emerging markets economies. Using a largely unexploited dataset, the paper finds that corporate bond spreads are determined by firm-specific variables, bond characteristics, macroeconomic conditions, sovereign risk, and global factors. A variance decomposition analysis shows that firm-level characteristics account for the larger share of the variance. In addition, the paper finds two asymmetries. The first is in line the sovereign ceiling 'lite' hypothesis which states that the transfer of risk from the sovereign to the private sector is less than 1 to 1. The second is consistent with the popular notion that panics are common in emerging markets where investors are less informed and more prone to herding.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 602
- Klassifikation
-
Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
International Finance: General
International Lending and Debt Problems
International Financial Markets
- Thema
-
Corporate Bond Spreads
Sovereign Ceiling
Default Risk
Emerging Market
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Cavallo, Eduardo
Valenzuela, Patricio
- Ereignis
-
Veröffentlichung
- (wer)
-
Inter-American Development Bank, Research Department
- (wo)
-
Washington, DC
- (wann)
-
2007
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Cavallo, Eduardo
- Valenzuela, Patricio
- Inter-American Development Bank, Research Department
Entstanden
- 2007
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