European Parliament Library

Sovereign Credit Ratings and Spreads in Emerging Markets :, Does Investment Grade Matter?, Laura Jaramillo, Michelle Tejada

Sovereign investment grade status is often associated with lower spreads in international markets. Using a panel framework for 35 emerging markets between 1997 and 2010, thispaper finds that investment grade status reduces spreads by 36 percent, above and beyond what is implied by macroeconomic fundamentals. This compares to a 5-10 percent reduction in spreads following upgrades within the investment grade asset class, and no impact formovements within the speculative grade asset class, ceteris paribus. While global financial conditions play a central role in determining spreads, market sentiment improves with lower external public debt to GDP levels and higher domestic growth rates
Table Of Contents
Cover Page; Title Page; Copyright Page; Contents; A. Introduction; B. Background and Literature Review; 1. Sovereign Credit Ratings by Agency; C. Stylized Facts; 1. EMBI Spreads and Global Conditions; 2. Emerging Markets: Sovereign Credit Ratings and Spreads by Year; D. Empirical Model Specification; E. Data and Estimation Results; 2. Data Description; 3. Median Spreads: Fitted Values; 3. Regression Results: Sovereign Spreads; 4. Spreads Implied by Rating Dummy Coefficients, All Else Equal; 5. Sovereign Spread Minus Cross-Country Median; F. Summary and Conclusions; Appendix; References
Literary Form
non fiction
Description based upon print version of record
Physical Description
1 online resource (31 p.)
Specific Material Designation
Form Of Item

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