On the predictability of emerging market sovereign credit spreads
(2018)
Journal Article
Audzeyeva. (2018). On the predictability of emerging market sovereign credit spreads. Journal of International Money and Finance, 140 - 157. https://doi.org/10.1016/j.jimonfin.2018.07.005
This paper examines the quarter-ahead out-of-sample predictability of Brazil, Mexico, the Philippines and Turkey credit spreads before and after the Lehman Brothers’ default. A model based on the country-specific credit spread curve factors predicts... Read More about On the predictability of emerging market sovereign credit spreads.