Does gross or net debt matter for long-term sovereign spreads in emerging markets? The topic is important for understanding the borrowing cost implications of public asset liability management decisions (e.g. using assets to lower debt). We investigate this question using data on emerging market...

We estimate sovereign bond spreads of 28 emerging economies over the period January 1998-December 2011 and test the ability of the model in generating accurate in-sample predictions for emerging economies bond spreads. The impact and significance of country-specific and global explanatory...

We find that data transparency policy reforms, reflected in subscriptions to the IMF's Data Standards Initiatives (SDDS and GDDS), reduce the spreads of emerging market sovereign bonds. To overcome endogeneity issues regarding a country's decision to adopt such reforms, we first show that the...

The paper shows that foreign holdings of local currency government bonds in emergingmarket countries (EMs) have reduced bond yields but have somewhat increased yieldvolatility in the post-Lehman period. Econometric analyses conducted from a sample of12 EMs demonstrate that these results are...

We analyze the relationship between global and country-specific factors and emerging market debt spreads from three different angles. First, we aim to disentangle the effect of global and country-specific developments, and find that while both country-specific and global developments are...

How do financial markets respond to concerns over debt sustainability and the level of public debt in emerging markets? We introduce a measure of debt sustainability – the difference between the debt stabilizing primary balance and the primary balance – in an otherwise standard spread...

We analyze the long-run impact of emerging-market sovereign bond yields on corporate bond yields, finding that the average pass-through is around one. The pass-through is larger in countries with greater sovereign risks and where sovereign bonds are more liquid. It is also greater for corporate...