Macroeconomic effects on emerging-markets sovereign credit spreads

Clark, Ephraim; Kassimatis, Konstantinos

doi:10.1016/j.jfs.2015.06.002

Cited by 22 publications

(6 citation statements)

References 39 publications

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“…The determinants of credit growth can be affected by the country's economic conditions. Clark and Kassimatis (2015) and Herman, et al, (2017) explain that a country's macroeconomic conditions can affect credit growth. The results of this study explain that changes in exchange rates of a country can give effect to the credit growth seen from the probability value in each model is smaller than the alpha value.…”

Section: Resultsmentioning

confidence: 99%

Evaluation Of Macroprudential Policy On Credit Growth In Indonesia: Credit Registry Data Approach

Dana

2018

Etikonomi

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Macro-prudential policies have an essential role in mitigating the imbalances in the financial sector that stem from procyclical credit growth. This study aims to evaluate macro-prudential policy in mitigating risk on procyclical credit growth with a registry data approach. Structural Vector Autoregression (SVAR) analysis method is used to evaluate macro-prudential policy in influencing credit growth. The results show LTV instruments can reduce credit growth but not to procyclical mitigation. Dissimilar results in the implementation of CCB and GWM + LDR instruments are capable of procyclical credit mitigation. Policies that can be done by the central bank are the establishment of an early warning system in macro-prudential policy as well as strengthening of Countercyclical Buffer (CCB), Loan to Value (LTV) instruments and Minimum Reserve Requirement + Loan Funding Ratio (GWM + LFR) in capturing systemic risks from various sources which further strengthens the assessment and surveillance.DOI:10.15408/etk.v17i2.7324

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Section: Resultsmentioning

confidence: 99%

Evaluation Of Macroprudential Policy On Credit Growth In Indonesia: Credit Registry Data Approach

Dana

2018

Etikonomi

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“…Financial markets experience economic crises irrespective of the effects corresponding to financial contagion [8]. For Chahuán et al and Alqaralleh and Canepa [19,20], COVID-19 caused a structural failure based on a financial contagion, influenced by the variables of health, country risk measured by the CDS, OECD membership and GDP, variables that were proposed by [1,2,36,37]. Our research expands the observed effects of the COVID-19 pandemic, showing its relevant impacts on international trade, causing problems in the import and export processes of countries at the global level.…”

Section: Discussion Conclusion Limitations and Future Researchmentioning

confidence: 99%

“…Studies of the effect that the global pandemic (COVID-19) has had on the economy, considering the trade openness of countries as a key element, are characterised according to Table 1. Benguria [22] Ibrahim [3] de la Fuente-Mella et al [11] Clark and Kassimatis [36] Volatility (Risk) Risk / SDRisk Lahmiri and Bekiros [5] Feng et al [25] Production and Open Markets GDP Moon et al [7] Tan and Yu-Hung [23] Milani and Park [32] Emerging economies (OECD and non-OECD) OCDE Tebaldi et al [37] Tiryaki [33] The method applied in this research was based on a mixed linear regression model that contains both fixed and random effects for the estimation of parameters and a mixed linear regression model corresponding to a generalisation of a linear model using the incorporation of random deviations.…”

Section: Introductionmentioning

confidence: 99%

“…For Clark and Kassimatis [36], a higher level of output means a higher debt-servicing capacity of the economy; many studies find that gross domestic product (GDP) growth or a similar activity-based indicator is a significant deterrent to sovereign spreads, and its terms (price of exports relative to the price of imports) is another important determinant of sovereign spreads, as it affects the economy's ability to generate the current foreign exchange earnings necessary to service external debt. An empirical examination of the aforementioned relationship finds that the terms of trade, as well as the volatility of trade rates, are significant factors affecting the sovereign spreads of emerging economies [36]; they also report that the terms of trade have a significant inverse relationship with sovereign spreads.…”

Section: Introductionmentioning

confidence: 99%

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Market Openness and Its Relationship to Connecting Markets Due to COVID-19

2021

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In this research, statistical models were formulated to study the effect of the health crisis arising from COVID-19 in economic markets. Economic markets experience economic crises irrespective of effects corresponding to financial contagion. This investigation was based on a mixed linear regression model that contains both fixed and random effects for the estimation of parameters and a mixed linear regression model corresponding to the generalisation of a linear model using the incorporation of random deviations and used data on the evolution of the international trade of a group of 42 countries, in order to quantify the effect that COVID-19 has had on their trade relationships and considering the average state of trade relationships before the global pandemic was declared and its subsequent effects. To measure, quantify and model the effect of COVID-19 on trade relationships, three main indicators were used: imports, exports and the sum of imports and exports, using six model specifications for the variation in foreign trade as response variables. The results suggest that trade openness, measured through the trade variable, should be modelled with a mixed model, while imports and exports can be modelled with an ordinary linear regression model. The trade relationship between countries with greater economic openness (using imports and exports as a trade variable) has a higher correlation with the country’s health index and its effect on the financial market through its main trading index; the same is true for country risk. However, regarding the association with OECD membership, the relations are only with imports.

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“…This positive premium confirms the first hypothesis of this study and provides evidence to support previous literature. Some studies argue that positive premium can be attributed to macroeconomic and liquidity factors (Comelli, 2012 andClark &Kassimatis, 2015). Both studies demonstrate that macroeconomic factors such as inflation rate, exchange rate, net foreign assets are significant determinations of bond spreads.…”

Section: Discussionmentioning

confidence: 99%

Determinants of green bond premium in the ASEAN market amidst the COVID-19 pandemic

Oktavio,

Riyanti

2021

J. Keuang. dan Perbank.

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Green bonds as a means of financing instrument for sustainable projects have caught the eyes of investors in recent years. With the growth of the global green bond market exceeding 50% in 2019 (CBI, 2019), green bonds serve as a promising financial instrument for organizations and a promising financial asset for investors. Previous studies have conflicting results in identifying the premium investors pay for investing in green bonds where both a positive and negative premium was observed. This study aims to examine the premium of green bonds issued in Southeast Asia before and during the COVID-19 pandemic from March 2016 to April 2021 by using a two-step regression model. In the first step, by employing a fixed-effect model to 42 green bonds, the results of this study suggest a positive green bond premium before the COVID-19 pandemic and a negative green bond premium during the pandemic. Additionally, this study conducts cross-section regressions to investigate the determinants of green bond premium. The results imply that rating, currency, issue amount, and time to maturity significantly affect the green bond premium.JEL: C23, G12, G14, G20, Q56

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Macroeconomic effects on emerging-markets sovereign credit spreads

Cited by 22 publications

References 39 publications

Evaluation Of Macroprudential Policy On Credit Growth In Indonesia: Credit Registry Data Approach

Evaluation Of Macroprudential Policy On Credit Growth In Indonesia: Credit Registry Data Approach

Market Openness and Its Relationship to Connecting Markets Due to COVID-19

Determinants of green bond premium in the ASEAN market amidst the COVID-19 pandemic

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