TY  - JOUR
AU  - Eichengreen,Barry
AU  - Mody,Ashoka
TI  - What Explains Changing Spreads on Emerging-Market Debt: Fundamentals or Market Sentiment?
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 6408
PY  - 1998
Y2  - February 1998
UR  - http://www.nber.org/papers/w6408
L1  - http://www.nber.org/papers/w6408.pdf
N1  - Author contact info:
Barry Eichengreen
Department of Economics
University of California, Berkeley
549 Evans Hall 3880
Berkeley, CA 94720-3880
Tel: 510/642-2772
Fax: 510/643-0926
E-Mail: eichengr@econ.Berkeley.edu

Ashoka Mody
European Department
International Monetary Fund
700 19th Street, NW
Washington DC 20431
E-Mail: amody@imf.org
AB  - In this paper we analyze data on nearly 1,000 developing-country bonds issued in the years 1991-96 the recent episode of heavy reliance on bonded debt.  We analyze both the issue decision of debtors and the pricing decision of investors, minimizing selectivity bias by treating the two issues jointly.  Overall, the results confirm that higher credit quality translates into a higher probability of issue and a lower spread. Importantly, however, we find that observed changes in fundamentals explain only a fraction of the spread compression in the period leading up to the recent crisis in emerging markets.
ER  -