When we look at Emerging Markets' eventful history at the capital
market, we find that nearly each has defaulted on a sovereign bond
- even the United States at the time when it was a developing
country. Today, the US is considered a safe harbor in the investing
world, and countries that are now tagged Emerging Markets trade at
razor-thin margins over US Treasuries. Nevertheless, high yields
coupled with low co-movement with established asset classes put
Emerging Market Debt in the spotlight - massive capital inflows
entailed a sharp compression of spreads towards less risky assets.
Is this drop in risk premia justifiable by country-specific
fundamentals? Or is it driven by the abundance of globally
investable liquidity and investors' risk appetite? An understanding
of this distinction is crucial for both policy makers in Emerging
Markets and asset managers worldwide. Addressed to researchers and
practitioners alike, this study derives a reduced-form model and
tests macroeconomic as well as global factors on their respective
impact. Finally, Emerging Market Debt is related to other asset
classes to gain insights into risk and return, portfolio
diversification and asset allocation.
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