How Valuable Is Market-and Firm-Specific Information for Calculating Bond Spreads in an Emerging Market?

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dc.contributor.authorCortazar, Gonzalo
dc.contributor.authorOrtega, Hector
dc.contributor.authorRomero, Rodrigo
dc.date.accessioned2025-01-20T22:02:12Z
dc.date.available2025-01-20T22:02:12Z
dc.date.issued2022
dc.description.abstractThe determinants of corporate bond credit spreads are investigated in Chile as an example of an emerging market with relatively few actors and thin trading. Both market-level and firm-level factors are considered. Three models previously used to analyze the highly developed US market are applied to Chilean inflation-indexed bond trade data, and the results for the two markets are compared. The determinants found to be significant for Chile form the basis for the design of a new multifactor regression model that is used to explain Chilean bond spreads. The results are evaluated with an out-of-sample test, and the root-mean-square error is calculated to compare the model's results with those obtained by the method commonly applied in illiquid markets by repeating the last recorded transaction for days on which no data are available. The proposed formulation is found to reduce the degree of error.
dc.fuente.origenWOS
dc.identifier.doi10.1080/1540496X.2019.1650347
dc.identifier.eissn1558-0938
dc.identifier.issn1540-496X
dc.identifier.urihttps://doi.org/10.1080/1540496X.2019.1650347
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/93948
dc.identifier.wosidWOS:000487137900001
dc.issue.numero1
dc.language.isoen
dc.pagina.final179
dc.pagina.inicio164
dc.revistaEmerging markets finance and trade
dc.rightsacceso restringido
dc.subjectbond spreads
dc.subjectdeterminants of bond spreads
dc.subjectemerging markets
dc.subjectmultifactor model
dc.subject.ods08 Decent Work and Economic Growth
dc.subject.odspa08 Trabajo decente y crecimiento económico
dc.titleHow Valuable Is Market-and Firm-Specific Information for Calculating Bond Spreads in an Emerging Market?
dc.typeartículo
dc.volumen58
sipa.indexWOS
sipa.trazabilidadWOS;2025-01-12
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