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1、BALANCESHEETEFFECTS,EXTERNALVOLATILITY,ANDEMERGINGMARKETSPREADSSamuelW.MaloneUniversityoftheAndesThispaperstudiesthedeterminantsofemergingmarketspreads,andthusofthecostofborrowingforemergingmarketsovereigns,usingrecentdatafromJPMorgan’sEMBIindexforapanelof19countries.Control
2、lingfortraditionalspreaddeterminants,wefocusonthreeadditionalfactorswhoseimportanceissuggestedbyrecentwork:externalshocks,thebalancesheeteffectofrealdevaluations,andthedegreeofcurrentaccountleverage.Wefindclearandstrongevidencethatthevariablesintheforegoingcategorieshaveanec
3、onomicallyandstatisticallysignificantrelationshipwithspreads.Inparticular,wefindamajorrolefortheterms-of-tradevolatilityandthelevelofcurrentaccountleverageinexplainingspreadvariation.Theresultoncurrentaccountleverageestablishesanimportantlinkbetweenafactorshowntomakecountrie
4、smorevulnerabletosuddenstopsofcapitalflows,andthepremiumrequiredbyinternationalinvestorsontheirforeigndebt.JELclassificationcodes:C33,F34Keywords:balancesheeteffects,emergingmarketdebt,externalvolatility,countryriskpremium.I.IntroductionThestudyofemergingmarketspreads,define
5、dasthedifferencebetweentheyieldonemergingmarketbondsandtheyieldonUSTreasurybondswiththesameorsimilarmaturity,extendsbacktoEdwards(1984,1986).Spreadsondebtreflectseveralfactors.Inadditiontoapremiumfortheprobabilityofdefaultontheunderlyingbondandtherecoveryratethatinvestorsass
6、umetheywillreceiveintheeventofdefault,spreadsmayincludeanadditionalpremiumrelatedtotheliquidityoftheunderlyingbonds,theprevalentdegreesofliquidityandrisk-aversioninthemarket,andeventaxprivilegesrealizedbytheinvestor.1Inthisstudy,wefocusonhighlyliquid,dollardenominateddebtins
7、trumentsofemergingmarketsovereignsthataretradedininternationalmarketsandincludedinJPMorgan’sEMBI+index.Paneldatastudiesofemergingmarketspreadsthatfocuson“classic”determinantsofsovereignriskinclude:RowlandandTorres(2004),Adesetal(2000),EichengreenandMody(1998),Min(1998),andCa
8、ntorandPacker(1996).AgoodsurveycanbefoundinSobrinho(2004).The“traditional”c
