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Emerging Markets and Financial GlobalizationSovereign Bond Spreads in 1870-1913 and Today$
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Paolo Mauro, Nathan Sussman, and Yishay Yafeh

Print publication date: 2006

Print ISBN-13: 9780199272693

Published to Oxford Scholarship Online: May 2006

DOI: 10.1093/0199272697.001.0001

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Spreads, News, and Macroeconomics: A Multivariate Regression Analysis

Spreads, News, and Macroeconomics: A Multivariate Regression Analysis

(p.86) 5 Spreads, News, and Macroeconomics: A Multivariate Regression Analysis
Emerging Markets and Financial Globalization

Paolo Mauro (Contributor Webpage)

Nathan Sussman

Yishay Yafeh (Contributor Webpage)

Oxford University Press

This chapter presents a systematic attempt to identify the determinants of bond spreads. Using multivariate regression analysis, it relates emerging market bond spreads for 1870-1913 and for the modern period to macroeconomic variables and to categories of news articles. It is shown that past and present investors pay attention to both macroeconomic fundamentals and to information reflected in the news, especially regarding violent conflicts. News on institutional reforms rarely elicit investor response. Country-specific fundamentals and news play less of a role in determining bond spreads today than they did in the past.

Keywords:   bond spreads, macroeconomic fundamentals, instability, wars, regression analysis, country fixed effects

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