| Description |
1 online resource (37 pages) : illustrations |
| Series |
IMF working paper ; WP/10/26 |
|
IMF working paper ; WP/10/26.
|
| Contents |
I. Introduction; II. Theoretical and Empirical Framework; A. Structural Models of Credit Spreads; B. Corporate Bond Spread Literature; C. Stylized Facts; III. Data and Methodology; A. Data; B. Pooled OLS, Fixed-Effects and GMM Methodology; IV. Determinants of Spreads; A. Background; B. Bankruptcy Risk; C. Recovery Rate and Economic Fundamentals; D. Global Factors and Systematic Risk; V. Conditioning on Country Features; A. Measures of Investor Protection; B. Synchronicity; C. Country Risk during Financial Crises; VI. Structural Breaks; VII. Robustness Testing and Extensions |
|
A. Cross-sectional Dependence and Principal Component AnalysisB. Systematic Component of Firm-level Factors; C. Omitting Time Dummies for Outliers; VIII. Conclusion; References; Figures; 1. Spread on Emerging Market Bonds; 2. Global Equity Market Volatility and Spreads; 3. U.S. Treasury Yield and Emerging Market Spreads; 4. Firm-level Volatility, Leverage and Equity Returns; 5. Principal Component Analysis on Log-spreads and Regression Residuals; Tables; 1. Descriptive Statistics of Data Sample; 2. Within-Group, IV and GMM Estimates; 3. Default Risk and Altman's Z-Score |
|
4. Expected Recovery Rate, Fama-French Factors and Transfer Risk5. Break Dates Using Classical Testing and MMSC in a Panel Set-Up; 6. Model Estimation When Allowing for Structural Break; 7. Alternative Treatment of Time Effects |
| Summary |
We examine risk spreads charged on corporate bonds placed by emerging market borrowers on international exchanges. While global developments have an important effect on spreads, changes in firm-level default risk also matter significantly in a way consistent with theory and experience in mature markets. In contrast, except during periods of financial crisis, country factors play a limited role. These findings go against the supposition that limited information on emerging market firms or significant agency problems prevent firm-level credit discrimination by international investors. The firm-level information capitalization into spreads possibly reflects protection afforded by the exchange listing on international markets |
| Notes |
Cover title |
|
"January 2010"--Page 1 |
| Bibliography |
Includes bibliographical references (pages 24-27) |
| Notes |
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL |
|
Print version record |
|
digitized 2014 HathiTrust Digital Library committed to preserve pda MiAaHDL |
| Subject |
Corporate debt -- Developing countries
|
|
Bonds -- Prices -- Developing countries
|
|
Risk -- Developing countries
|
|
Bonds -- Prices
|
|
Corporate debt
|
|
Risk
|
|
Developing countries
|
| Form |
Electronic book
|
| Author |
Mody, Ashoka, author.
|
|
International Monetary Fund, issuing body.
|
| ISBN |
9781451962475 |
|
1451962479 |
|
