PT  - JOURNAL ARTICLE
AU  - Katia Rocha
AU  - Roberto Siqueira
AU  - Felipe Pinheiro
TI  - Vulnerability of Emerging Markets to Global Shocks
AID  - 10.3905/jfi.2007.695287
DP  - 2007 Sep 30
TA  - The Journal of Fixed Income
PG  - 77--91
VI  - 17
IP  - 2
4099  - https://pm-research.com/content/17/2/77.short
4100  - https://pm-research.com/content/17/2/77.full
AB  - The determinants of 24 emerging markets sovereign spreads from 1998 to 2006 are analyzed using a panel data model, which determines the countries' vulnerability to global risk shocks. Total Government Debt/GDP and governance indicators successfully explained the level and sensitiveness of all sovereign spreads. While supporting the assertion that global liquidity and low risk aversion have been the main drivers of the general fall on spreads after 2003, the vulnerability of emerging markets to external shocks are country specific and can be mitigated by improving Government debt and governance.TOPICS: Fixed income and structured finance, emerging markets, legal and regulatory issues for structured finance