This thesis has two main goals. The first is to determine which factors can explain the level in the credit spreads in a sample of Latin American and Asian countries in the period ranging from the middle of the 90's to mid-2000. Particular emphasis is giving to macroeconomic variables. The second is to investigate the behavior of the term structure of credit spreads.; Using a new dataset of credit spread and monthly macroeconomic data, I find that economic and financial variables have great explanatory power over the level and changes on credit spreads in Latin American countries. The results for the Asian countries are mixed.; More importantly, despite the great volatility on the secondary market of sovereign bonds, economic variables, alone, explain a big part of the variation on spreads. Economic variables have also more long run effect in credit spreads than financial variables.; I find, also, that the slope of the term structure of credit spreads depends on the economic environment of the emerging market countries. In good times, this term structure has a positive slope. As the economic conditions degenerates, the term structure gets flatter and, eventually, negatively sloped.
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