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    Emerging market debt: measuring credit quality and examining relative pricing


    Pastine, Tuvana (2001) Emerging market debt: measuring credit quality and examining relative pricing. Journal of International Money and Finance, 20 (5). pp. 591-609. ISSN 0261-5606

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    Abstract

    We investigate the pricing of ‘Brady’ bonds that are issued by the governments of five developing countries as part of debt and debt service reduction agreements. We first present a measure of credit quality that takes account of the individual features of each bond and is comparable across bonds, across issuers, and over time. We then examine the evolution of the credit quality of each debt instrument from 1990 until the beginning of 2000. Next, we present evidence of a profitable trading strategy that exploits the information contained in this measure of credit quality.

    Item Type: Article
    Keywords: Emerging market debt; Credit risk; Brady bonds;
    Academic Unit: Faculty of Social Sciences > Economics, Finance and Accounting
    Item ID: 8502
    Depositing User: Tuvana Pastine
    Date Deposited: 25 Jul 2017 14:20
    Journal or Publication Title: Journal of International Money and Finance
    Publisher: Elsevier
    Refereed: Yes
    URI:

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