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Sovereign Credit Ratings and Spreads in Emerging Markets: Does Investment Grade Matter?

Mar 01, 2011 | M. Tejada, L. Jaramillo | IMF
This paper, using a panel framework for 35 emerging markets between 1997 and 2010, finds that investment grade status reduces spreads by 36 percent, above and beyond what is implied by macroeconomic fundamentals. 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.
Theme: Financial Inclusion | Pages: 18