The Determinants of Sovereign Spreads in Emerging Markets

Autor :Olcay Culha, Fatih Ozatay, Gülbin ┼×ahinbeyo─člu
Herausgeber :
Central Bank Of Turkey, Research Department
Herkunft :Sondersammelgebiet Vorderer Orient einschl. Nordafrika
Datum :01.01.2006
Dokumente :
Dataobject from HALCoRe_document_00013060
Typ :Forschungsarbeit
Format :Text
Kurzfassung :This study analyzes both short-run and long-run determinants of the sovereign spreads in a set of 21 emerging countries over the period 1998-2004 utilizing both daily and monthly data and estimate individual country and panel regressions. Our analysis shows that both domestic and international factors affect spreads, where the most important common determinant of the spreads is found to be the risk appetite of foreign investors. By using an event study methodology we
find no evidence of impact of the FOMC announcements on spreads. Finally, we analyze whether news regarding domestic politics and announcements of international organizations play a role in the evolution of spreads. Using the postcrisis
data of Turkey, we point out an important effect of such news releases.
Schlagwörter :Türkei
Quelle :http://www.tcmb.gov.tr/research/discus/WP0604ENG.pdf
Rechte :Autor
Anmerkungen :http://www.econturk.org/
Erstellt am :14.03.2012 - 21:55:05
Letzte Änderung :14.03.2012 - 21:55:37
MyCoRe ID :HALCoRe_document_00013060
Statische URL :http://edoc.bibliothek.uni-halle.de/servlets/DocumentServlet?id=13060