The Empirical Determinants of Local-Currency-Denominated Corporate Spreads in Emerging Economies : Evidence from South Africa *

@inproceedings{Grandes2007TheED,
  title={The Empirical Determinants of Local-Currency-Denominated Corporate Spreads in Emerging Economies : Evidence from South Africa *},
  author={Martin Grandes},
  year={2007}
}
  • Martin Grandes
  • Published 2007
This paper analyzes and quantifies the importance of sovereign risk in determining corporate yield spreads in emerging economies. It also investigates the extent to which the practice by rating agencies and banks of not rating companies higher than their sovereign (“country or sovereign ceiling”) is reflected in the spreads of South African local-currency-denominated corporate bonds. The main findings are: (i) sovereign risk appears to be the single most important determinant of corporate… CONTINUE READING