This paper provides issuance-level evidence from an emerging economy with a dual-currency primary bond market, showing that currency denomination not only affects the level of corporate bond spreads but also fundamentally reshapes the transmission of macro-financial shocks across credit ratings. Using a comprehensive dataset of 1,323 corporate bond issuances between 2008 and 2024, we combine bond level characteristics, macro-financial conditions, and firm-level financial indicators to analyze how credit risk is priced across currency segments. We find clear evidence of currency segmentation in the pricing of corporate bonds. Spreads on USD-denominated bonds exhibit greater sensitivity to macro-financial conditions than those issued in local currency, particularly with respect to inflation and monetary policy variables. In addition, we document substantial heterogeneity across credit ratings, with lower-rated bonds displaying markedly stronger responses to macroeconomic shocks. A variance decomposition analysis shows that credit ratings are the dominant determinant of spread variation, explaining approximately 23% of total spread variance and more than 60% in the USD-denominated segment.
