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...

We investigate the impact of local and global macroeconomic factors on Eurobonds and local currency issued bonds in Sub-Saharan Africa, at different points on the yield curve. Using a unique proprietary data set collected from local authorities, central banks and independent international...

Using surveys of foreign exchange expectations, we document the emergence of a large gap between the beliefs of foreign banks and local-based institutions ahead of Brazil's 2002 presidential elections. That period was marked by a sudden stop in foreign capital flows and steep depreciation of...

This study investigates the systematic risk factors driving emerging market (EM) credit risk by jointly modelling sovereign and corporate credit spreads at a global level. We use a multi-regional Bayesian panel VAR model, with time-varying betas and multivariate stochastic volatility. This model...

The paper considers a no-arbitrage setting for pricing and relative value analysis of risky sovereign bonds. The typical case of an emerging market country (EM) that has bonds outstanding both in foreign hard currency (Eurobonds) and local soft currency (treasuries) is inspected. The resulting...

Understanding the dynamics of time-varying currency risk premia is the central issue of current empirical FX research. Since most findings, however, are based on developed market (DM) currencies, this paper contributes in such a way that it explicitly analyzes the specific dynamics of emerging...

We show that “preemptive” capital flow management measures (CFM) can reduce emerging markets and developing countries’ (EMDE) external finance premia during risk-off shocks, especially for vulnerable countries. Using a panel dataset of 56 EMDEs during 1996–2020 at monthly frequency, we...