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Emerging Markets and Financial Globalization: Sovereign Bond Spreads in 1870-1913 and Today

Paolo Mauro, Nathan Sussman, and Yishay Yafeh

Abstract

This book provides the first comparative analysis of the determinants of sovereign bond spreads in the first era of financial globalization and bond finance (1870-1913) and today (1994-2002). Drawing on a newly-collected data set on bond yields, macroeconomic variables, and news of various categories for a panel of emerging markets, it is shown that news about wars or episodes of politically-motivated violence are significant and robust determinants of spreads; fiscal variables also play a role. In contrast, news about institutional reforms seldom have a rapid and significant impact. There are ... More

Keywords: emerging markets, financial globalization, bond yields, international capital flows

Bibliographic Information

Print publication date: 2006 Print ISBN-13: 9780199272693
Published to Oxford Scholarship Online: May 2006 DOI:10.1093/0199272697.001.0001

Authors

Affiliations are at time of print publication.

Paolo Mauro, author
International Monetary Fund
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Nathan Sussman, author
The Hebrew University

Yishay Yafeh, author
The Hebrew University
Author Webpage