Astonishing insights: emerging market debt spreads throughout the pandemic
Appl. Econ.
; : 10, 2021.
Article
in English
| Web of Science | ID: covidwho-1459109
ABSTRACT
We investigate how Covid-19 affects the emerging market (EM) bonds by analysing, on a standalone basis, investment grade (IG) and high yield (HY) debt per type of issuer. We document evidence that the option-adjusted spreads (OAS) of the IG and HY financials have recovered to the pre-Covid levels by the end of year 2020, while for the HY sovereigns and corporates the OAS remain twice as wide as before the pandemic. The weight of the liquidity component in the OAS for the IG sovereigns has climbed to astonishing 45%. Our results are potentially useful for investors, traders, risk managers and regulators.
Full text:
Available
Collection:
Databases of international organizations
Database:
Web of Science
Language:
English
Journal:
Appl. Econ.
Year:
2021
Document Type:
Article
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