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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 |
| Related URLs: | |
| URI: | https://mural.maynoothuniversity.ie/id/eprint/8502 |
| Use Licence: | This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here |
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