Emerging market sovereign bond spreads: Estimation and back-testing

被引：32

作者：

Comelli, Fabio ^{[1
]}

机构：

[1] Int Monetary Fund, Washington, DC 20431 USA

来源：

EMERGING MARKETS REVIEW | 2012年 / 13卷 / 04期

关键词：

Emerging economies; Sovereign bond yield spreads; In-sample forecasts; YIELD SPREADS; PANEL-DATA;

D O I：

10.1016/j.ememar.2012.09.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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 bond spreads. The impact and significance of explanatory variables on spreads vary across regions and periods. During crisis times, good macroeconomic indicators are helpful in containing spreads, but less than in non-crisis times, possibly reflecting the impact of extra-economic forces on spreads when a financial crisis occurs. For some economies, in-sample predictions of the monthly changes in spreads obtained with rolling regression routines are more accurate than those obtained with random guessing. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：598 / 625

页数：28

共 37 条

[11] Consistent covariance matrix estimation with spatially dependent panel data [J].