Ten-Year after the Asian Financial Crisis: Understanding Spread Determinants on New Emerging Market Bonds

Abstract

The  spread  determinants  of  emerging  market  bonds  have  shown  some  similarity  with the  non-investment  grade  bonds.  In  the  study,  the  author  found  that  there  are  significant numbers of quantitiable factors to explain the variance in the risk premium. The factors were classified  into  company  speciic  variables  and  macroeconomic  variables,  such  as  rating, term,  and  secondary  market  spread,  interest  rate  change  and  rising  price  of  commodities. For  the  unexplained  variance  in  risk  premiums,  the  study  suggested  some  explanation  on the underwriter's effectiveness in presenting the issuer to the investors and correlation of the emerging-market debt to the other asset classes.