Audzeyeva, A and Fuertes, A-M (2015) Emerging Market Sovereign Credit Spreads: In-Sample and Out-of-Sample Predictability. SSRN.

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Abstract

This paper investigates the quarter-ahead predictability of Brazil, Mexico, Philippines and Turkey credit spreads for short and long maturity bonds during two separate periods preceding and following the Lehman Brothers' default. A model based on the current country-specific credit spread curve predicts no better than the random walk and slope regression benchmarks. Extensions with the global yield curve factors and short-term interest rate volatility notably outperform the benchmark models post-Lehman. Our findings suggest that uncertainty indicators, both global and domestic, contain information about future credit spreads and that bond prices did better align with fundamentals post-crisis.

Item Type: Article
Additional Information: © The Authors 2016. Paper published on SSRN website https://www.ssrn.com/en/
Subjects: H Social Sciences > HC Economic History and Conditions
H Social Sciences > HF Commerce
H Social Sciences > HG Finance
Divisions: Faculty of Humanities and Social Sciences > Keele Management School
Depositing User: Symplectic
Date Deposited: 12 May 2017 09:21
Last Modified: 14 Jun 2018 08:21
URI: http://eprints.keele.ac.uk/id/eprint/3380

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