This paper studies the relationship between banks' holdings of domestic sovereign securities and credit growth to the private sector in emerging market and developing economies. Higher banks' holdings of government debt are associated with a lower credit growth to the private sector and with a...

The purpose of this paper is to clarify some of the difficulties that a practitioner may find in implementing the binomial model for valuing a corporate bond with multiple embedded options in emerging markets. Especially, when faced with the dilemma of determining which should be the proxy...

In this study I explore the role of corruption in the cross-market time-varying linkage between sovereign bonds of emerging markets and the US stock market. It shows that corruption plays a prominent role in the behaviour of comovement under different market conditions. The sensitivity of...

This paper examines key determinants of the distance between the sovereign's credit rating and the ratings of sub-sovereign foreign currency bonds, such as bond issuers' type, debt characteristics, and global and country's economic conditions. Using a comprehensive international bond-level...

The Warsaw Stock Exchange is one of Europe's largest exchanges by the number of IPOs, although it retains features of a market in post-transition countries, including a relatively small size, shallowness and a weak institutional framework. In this study, we use a large dataset to explore firms'...

In this study we trace changes in sovereign bond spreads over major phases of the recent international financial crisis for representative sovereign bond portfolios drawn from 43 countries, including 20 emerging economies. We extend upon traditional factor analyses and utilize propensity score...

Over the last decade, local currency emerging market (EM) debt has been developing to become an attractive and complementary investment category as many EM countries have been successful to reduce currency mismatches and maturity problems by implementing sound fiscal and monetary policies....

In this paper, I show that a sizable component of emerging market sovereign yield spreads is due to factors other than default risk such as liquidity. I estimate the non-default component of the yield spreads as the basis between the actual credit default swap (CDS) premium and the hypothetical...

This paper explores the effects of fiscal transparency on the borrowing costs of 33 emerging and developing economies (EMs), and on foreign demand for their sovereign debt. Using multiple indicators, including a constructed one based on the published data in the IMF's Government Finance...