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The effects of unanticipated movements in global risk on nine emerging bond markets are investigated. The components of global risk are volatility, credit, and liquidity risks. Country and contagion risks are also studied individually. A historical decomposition of bond spreads is used to identify the relative contributions of risk during 1998-99. The empirical results show that the Russian/LTCM crises were characterized by increases in global credit risk, while the relative size of global risk factors was mixed for the Brazilian crisis, with no component dominating. Country risk is found to be important for all countries, while there is little evidence of contagion risk.

Bond market -- Developing countries. --- Financial crises -- Developing countries. --- Risk management -- Developing countries. --- Banks and Banking --- Finance: General --- Financial Risk Management --- Multiple or Simultaneous Equation Models: Models with Panel Data --- Financial Markets and the Macroeconomy --- International Lending and Debt Problems --- Interest Rates: Determination, Term Structure, and Effects --- General Financial Markets: General (includes Measurement and Data) --- Financing Policy --- Financial Risk and Risk Management --- Capital and Ownership Structure --- Value of Firms --- Goodwill --- Financial Crises --- Finance --- Financial services law & regulation --- Economic & financial crises & disasters --- Yield curve --- Emerging and frontier financial markets --- Credit risk --- Securities markets --- Financial crises --- Financial services --- Financial markets --- Financial regulation and supervision --- Interest rates --- Financial services industry --- Financial risk management --- Capital market --- United States --- Risk management --- Bond market