Emerging Bond Market Volatility and Country Spreads

Using JPMorgan's emerging market bond index, this paper analyzes how increases in country credit spreads can persist in emerging bond markets. The results of T-GARCH regressions show that, during financial crisis periods, emerging countries' credit spreads may increase persistently as a re...

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Veröffentlicht in:	Emerging markets finance & trade 2013-01, Vol.49 (1), p.82-100
Hauptverfasser:	Won, Seungyeon, Yun, Young Sup, Kim, Byoung Joon
Format:	Artikel
Sprache:	eng
Schlagworte:	Asians Bond markets Bonds country spread Credit Developing countries Economic conditions Economic crisis Emerging markets Finance Markets sovereign bonds Spread Stochastic models Studies T-GARCH model Volatility
Online-Zugang:	Volltext
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