Article
Astonishing insights: emerging market debt spreads throughout the pandemic
Applied Economics
Document Type
Article
Publication Date
10-3-2021
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.
DOI Link
10.1080/00036846.2021.1984383
Publisher
Taylor & Francis
Disciplines
Keywords
- COVID-19 pandemic,
- Option-adjusted spread (OAS),
- Liquidity,
- Emerging markets,
- Fixed-income
Scopus ID
85118438184
Indexed in Scopus
Yes
Open Access
No
https://doi.org/10.1080/00036846.2021.1984383
Citation Information
Mariya Gubareva, Zaghum Umar, Tatiana Sokolova and Xuan Vinh Vo. "Astonishing insights: emerging market debt spreads throughout the pandemic" Applied Economics (2021) Available at: http://works.bepress.com/zaghum-umar/51/