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Impact of External Shocks on Bond and CDS Emerging Markets

ФИО студента: Alexander Nikolaev

Руководитель: Zinaida Seleznyova

Кампус/факультет: Faculty of Economic Sciences

Программа: Financial Markets and Financial Institutions (Master)

Год защиты: 2021

This study analyzes the pricing of corporate bonds and sovereign CDS and the impact of various shocks on them in different countries. In the course of work, in the series of excess bond yields structural shifts were found, which were divided into several categories: a sharp drop in the market, temporary stabilization of the situation after a sharp drop, the moment of the end of the crisis, a moment a few weeks before the end of the crisis or a few weeks after it began, and a random moment in time during the growth period. It is also shown that the market index does not affect excess bond yields, while sovereign CDS spreads and the slope of their time structure may have an impact for some countries and periods. A predictor of corporate bond prices, a 5-year sovereign CDS spread, has been proposed. Provided the correct specification of the training model is correct, it performs well and has good predictive power. Also, a cross-country analysis was carried out and the differences were shown both between developed and developing countries, and between different developing countries.

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