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This paper investigates the relation between yield curve and macroeconomic factors for 10 emerging sovereign bond markets using the sample from January 2006 to April 2019. To this end, the diffusion indices obtained under four categories (global variables, inflation, domestic financial variables, and economic activity) are incorporated by estimating dynamic panel data regressions together with the...
We use fixed effects panel regressions to identify the macroeconomic factors driving the heterogeneity in the sensitivity of credit default swap (CDS) premium to changes in the global risk factor across emerging markets. The panel regression results indicate that countries with lower government debt and higher reserves tend to be less subject to the variations in the global risk appetite.
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