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Resource Windfalls and Emerging Market Sovereign Bond Spreads

Resource Windfalls and Emerging Market Sovereign Bond Spreads »

Source: Resource Windfalls and Emerging Market Sovereign Bond Spreads : The Role of Political Institutions

Volume/Issue: 2010/179

Series: IMF Working Papers

Author(s): Rabah Arezki , and Markus Bruckner

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2010

ISBN: 9781455202133

Keywords: Sovereign Bond Spread, Political Institutions, sovereign bond, sovereign bonds, bond, bond spreads, bonds,

We examine the effect that revenue windfalls from international commodity price shocks have on sovereign bond spreads using panel data for 30 emerging market economies during the period 1997-2007. Our main finding...

Emerging Market Sovereign Bond Spreads

Emerging Market Sovereign Bond Spreads »

Source: Emerging Market Sovereign Bond Spreads : Estimation and Back-testing

Volume/Issue: 2012/212

Series: IMF Working Papers

Author(s): Fabio Comelli

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2012

ISBN: 9781475505627

Keywords: Emerging economies, sovereign bond yield spreads, in-sample forecasts, bond, bond spreads, sovereign bond, bond spread, sovereign bonds,

We estimate sovereign bond spreads of 28 emerging economies over the period January 1998-December 2011 and test the ability of the model in generating accurate in-sample predictions for emerging economies bond spre...

The Rewards of Fiscal Consolidation: Sovereign Spreads and Confidence Effects

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The Rewards of Fiscal Consolidation: Sovereign Spreads and Confidence Effects »

Source: The Rewards of Fiscal Consolidation: Sovereign Spreads and Confidence Effects

Volume/Issue: 2019/141

Series: IMF Working Papers

Author(s): Antonio David , Jaime Guajardo , and Juan Yepez

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 02 July 2019

ISBN: 9781498317054

Keywords: Sovereign spreads, emerging markets, fiscal consolidation, austerity.

This paper investigates the effects of fiscal consolidation announcements on sovereign spreads in a panel of 21 emerging market economies during 2000-18. We construct a novel dataset using a global news database to...

Euro Area Sovereign Risk During the Crisis1

Euro Area Sovereign Risk During the Crisis1 »

Source: Euro Area Sovereign Risk During the Crisis

Volume/Issue: 2009/222

Series: IMF Working Papers

Author(s): Edda Zoli , and Silvia Sgherri

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2009

ISBN: 9781451873696

Keywords: Sovereign Spreads, Global Risk Repricing, bond, sovereign bond, bonds,

While the use of public resources is critical to cushion the impact of the financial crisis on the euro-area economy, it is key that the entailed fiscal costs not be seen by markets as undermining fiscal sustainabi...

The Determinants of Corporate Risk in Emerging Markets

The Determinants of Corporate Risk in Emerging Markets »

Source: The Determinants of Corporate Risk in Emerging Markets : An Option-Adjusted Spread Analysis

Volume/Issue: 2007/228

Series: IMF Working Papers

Author(s): Eduardo Cavallo , and Patricio Valenzuela

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2007

ISBN: 9781451867923

Keywords: Corporate bond spreads, sovereign ceiling, default risk, emerging market, bond, sovereign risk, corporate bond, bond spreads,

This study explores the determinants of corporate bond spreads in emerging markets economies. Using a largely unexploited dataset, the paper finds that corporate bond spreads are determined by firm-specific variabl...

Thou Shalt Not Breach: The Impact on Sovereign Spreads of Noncomplying with the EU Fiscal Rules

Thou Shalt Not Breach: The Impact on Sovereign Spreads of Noncomplying with the EU Fiscal Rules »

Source: Thou Shalt Not Breach: The Impact on Sovereign Spreads of Noncomplying with the EU Fiscal Rules

Volume/Issue: 2018/87

Series: IMF Working Papers

Author(s): Federico Diaz Kalan , Adina Popescu , and Julien Reynaud

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 13 April 2018

ISBN: 9781484351024

Keywords: Fiscal rules, noncompliance, sovereign spreads, General, Models with Panel Data

There is evidence that fiscal rules, in particular well-designed rules, are associated with lower sovereign spreads. However, the impact of noncompliance with fiscal rules on spreads has not been examined in the li...

How do Experts Forecast Sovereign Spreads?*

How do Experts Forecast Sovereign Spreads?* »

Source: How do Experts Forecast Sovereign Spreads?

Volume/Issue: 2016/100

Series: IMF Working Papers

Author(s): Jacopo Cimadomo , Peter Claeys , and Marcos Poplawski-Ribeiro

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 20 May 2016

ISBN: 9781484362068

Keywords: market expectations, sovereign bond spreads, survey data, Consensus Economics.

This paper assesses how forecasting experts form their expectations about future government bond spreads. Using monthly survey forecasts for France, Italy and the United Kingdom between January 1993 and October 201...

Assessing Loss of Market Access: Conceptual and Operational Issues

Assessing Loss of Market Access: Conceptual and Operational Issues »

Source: Assessing Loss of Market Access: Conceptual and Operational Issues

Volume/Issue: 2017/246

Series: IMF Working Papers

Author(s): Anastasia Guscina , Sheheryar Malik , and Michael Papaioannou

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 15 November 2017

ISBN: 9781484324936

Keywords: Market Access, Sovereign Debt Restructuring; Default; Bond Spreads, Sovereign Debt Restructuring, Default, Bond Spreads, Assessing Loss of Market Access:

Loss of market access (LMA) is a central element and an exacerbator of balance of payments and fiscal crises. This paper provides an operational definition of LMA, examines the predictive power of potential LMA lea...

Is it (Still) Mostly Fiscal? Determinants of Sovereign Spreads in Emerging Markets

Is it (Still) Mostly Fiscal? Determinants of Sovereign Spreads in Emerging Markets »

Source: Is it (Still) Mostly Fiscal? Determinants of Sovereign Spreads in Emerging Markets

Volume/Issue: 2008/259

Series: IMF Working Papers

Author(s): Sanjeev Gupta , Amine Mati , and Emanuele Baldacci

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2008

ISBN: 9781451871173

Keywords: Sovereign spreads, political risk, bond, fiscal variables, bond spreads, fiscal balance,

Using a panel of 30 emerging market economies from 1997 to 2007, this paper investigates the determinants of country risk premiums as measured by sovereign bond spreads. Unlike previous studies, the results indicat...

Emerging Market Spread Compression

Emerging Market Spread Compression »

Source: Emerging Market Spread Compression : Is it Real or is it Liquidity?

Volume/Issue: 2008/10

Series: IMF Working Papers

Author(s): Laura Kodres , Kristian Hartelius , and Kenichiro Kashiwase

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2008

ISBN: 9781451868722

Keywords: Sovereign Spreads, Fundamentals, bond, bond spreads, market bond, emerging market bond, standard deviation,

Despite recent turmoil, spreads on emerging market countries' sovereign bonds have fallen dramatically since mid-2002. Some have attributed the fall to improved economic fundamentals while others to ample global li...