...
  • 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>Journal of Financial Economic Policy >Sovereign credit ratings and bond yield spreads in emerging markets: Revisiting Cantor-Packer evidence in resilience
【24h】

Sovereign credit ratings and bond yield spreads in emerging markets: Revisiting Cantor-Packer evidence in resilience

机译：主权信用评级和债券收益率在新兴市场传播：重新审视签名包装的证据

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

Purpose - This paper, using the model suggested by Cantor and Pecker (1996), aims to explore the relations between sovereign ratings and bond yield spreads in emerging markets. Design/methodology/approach - The ordinary least square regression procedure administered on the most recent sovereign ratings of 46 countries demonstrates how the macroeconomic information embody in the sovereign rating scores predict their bond yield spreads relative to the yield on US Treasury bond. Findings - The research finds that the assigned rating scores do not herald the complete elites of the macroeconomic conditions in emerging markets, and there is more incremental information in the publicly available macroeconomic variables, which is much useful in predicting bond yield spreads than that embedded into the sovereign ratings. Practical implications - The outcomes of the research have strategic implications for global investors and policymakers. The use of credit rating scores along with the macroeconomic fundamentals in emerging economies produces better predictions than the benchmark predictions solely based on the rating scores suggested by the previous research. Originality/value - This study is the first one to address the issues related to sovereign ratings and bond yield spread in developing and emerging markets using the most recent ratings during the period of the economic recoveries, following the global financial crisis of 2008.
机译：目的 - 本文采用了Cantor和Pecker（1996）所建议的模型，旨在探讨主权评级和债券收益率在新兴市场之间的关系。设计/方法/方法 - 在46个国家的最新主权额定额上管理的普通最小二乘回归程序展示了宏观经济信息在主权评级评级中的体现如何预测其相对于美国国债债券的产量的债券收益率。调查结果 - 研究发现，指定的评级分数并未使新兴市场宏观经济条件的完整精英，并且公开可用的宏观经济变量具有更多的增量信息，这对于预测债券收益率差价远远超过嵌入主权评级。实际意义 - 该研究的结果对全球投资者和政策制定者具有战略影响。信用评级分数随着新兴经济体的宏观经济基础知识而比基于先前研究所提出的评级分数的基准预测产生更好的预测。 2008年全球金融危机，本研究首先，该研究是第一个解决与主权评级和债券收益率相关的问题和新兴市场在发展和新兴市场的债券收益率蔓延的问题。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号