دانلود رایگان مقاله گسترش بازار اوراق قرضه، اعتبار و بحران مالی جهانی

Abstract

This paper investigates the impacts of sovereign credit ratings and global financial conditions on the evolution of EMBI Global (EMBIG) spreads for a panel of 23 developing countries by using daily data for the period between 1998 and 2012. To this end, we employ not only the conventional panel estimation procedures, but also the recent methods tackling with either cross-sectional dependence stemming from common global shocks or a potential endogeneity. Our results suggest that credit ratings along with global financial conditions re the main determinants of EMBIG spreads. The determinants of EMBIG spreads are not invariant to speculative and investment grade episodes and transitions between them. The recent global crisis changed the determinants of EMBIG spreads and led to credit ratings' impact to converge between speculative and investment grade countries.

4. Concluding remarks

Credit ratings (CR) and global financial conditions both matter for EMBIG spreads. Our results support the robustness of this postulation to different empirical modelling procedures including PARDL-MG and CCE-PARDL-MG. This paper, however, also finds that the determinants of EMBIG spreads are not invariant to investment and speculative grade episodes, the transitions between them and to the recent global financial crisis. The impact of CR is found to be substantially higher for investment grade episodes (IGE) than speculative grade episodes (SGE). A rating downgrade from investment to speculative status substantially increases EMBIG spreads beyond the level suggested by the rating change alone. This is not surprising since investment rules of many institutional investors allow only to invest in bonds with investment grade. Consequently, a downgrade to a speculative grade sharply shrinks the investor base. Similarly, an upgrade to investment grade also leads to an additional decrease in EMBIG spreads, albeit its effect is lower than the effect of transitions from investment to speculative ratings.