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

[thumbnail of Predict EM Yield Spread_8Nov2016_final.pdf]
Predict EM Yield Spread_8Nov2016_final.pdf - Accepted Version

Download (1MB) | Preview


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
Uncontrolled Keywords: Sovereign credit spreads; Emerging Markets; Out-of-sample predictability; Term structure; Macroeconomic uncertainty.
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: 18 Mar 2021 16:42

Actions (login required)

View Item
View Item