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The Impact of Macroeconomic Announcements on Emerging Market Bonds

The Impact of Macroeconomic Announcements on Emerging Market Bonds »

Source: The Impact of Macroeconomic Announcements on Emerging Market Bonds

Volume/Issue: 2005/83

Series: IMF Working Papers

Author(s): Jochen Andritzky , Geoffrey Bannister , and Natalia Tamirisa

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2005

ISBN: 9781451861020

Keywords: Announcement, emerging market bonds, news, crisis, bond, equation, bonds, financial markets, anova,

This paper examines how emerging bond markets react to macroeconomic announcements. Global bond spreads respond to rating actions and changes in global interest rates rather than domestic data and policy announceme...

The IMF in a World of Private Capital Markets

The IMF in a World of Private Capital Markets »

Source: The IMF in a World of Private Capital Markets

Volume/Issue: 2005/84

Series: IMF Working Papers

Author(s): Ashoka Mody , Barry Eichengreen , and Kenneth Kletzer

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2005

ISBN: 9781451861037

Keywords: signaling, bond, bonds, equation, probability, bond markets, International Monetary Arrangements and Institutions, International Lending and Debt Problems,

The IMF attempts to catalyze and stabilize private capital flows to emerging markets by providing public monitoring and emergency finance. In analyzing its role we contrast cases where banks and bondholders do the...

Modelling the Yield Curve

Modelling the Yield Curve »

Source: Modelling the Yield Curve

Volume/Issue: 1991/134

Series: IMF Working Papers

Author(s): Mark Taylor

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 1991

ISBN: 9781451931457

Keywords: interest rates, term structure, expectations, risk, market segmentation, bond, heteroscedasticity, equation, bonds, statistics

We test and estimate a variety of alternative models of the yield curve, using weekly, high-quality U.K. data. We extend the Campbell-Shiller technique to the overlapping data case and apply it to reject the pure e...

Regional Financial Integration in the Caribbean

Regional Financial Integration in the Caribbean »

Source: Regional Financial Integration in the Caribbean : Evidence From Financial and Macroeconomic Data

Volume/Issue: 2009/139

Series: IMF Working Papers

Author(s): Goohoon Kwon , and Raphael Espinoza

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2009

ISBN: 9781451872866

Keywords: CARICOM, cross-market premium, cross-listed stock, Threshold Auto-Regressive model, current account dynamics, equation, bond, correlation, stock exchange,

This paper assesses the extent of regional financial integration in the Caribbean Community (CARICOM) by analyzing equity prices in the region and rigidity of external financing constraints. The results are present...

An Assessment of Estimates of Term Structure Models for the United States

An Assessment of Estimates of Term Structure Models for the United States »

Source: An Assessment of Estimates of Term Structure Models for the United States

Volume/Issue: 2011/247

Series: IMF Working Papers

Author(s): Carlos Medeiros , and Ying He

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2011

ISBN: 9781463923266

Keywords: Term structure models, term structure of interest rates, yield curves, yields on U.S. Treasury securities, equation, bond, covariance, bonds, equations, Financial Markets and the Macroeconomy,

The paper assesses estimates of term structure models for the United States. To this end, this paper first describes the mathematics underlying two types of term structure models, namely the Nelson-Siegel and Cox,...

International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse

International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse »

Source: International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse

Volume/Issue: 2002/74

Series: IMF Working Papers

Author(s): Renee Fry , Vance Martin , Brenda Gonzalez-Hermosillo , and Mardi Dungey

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2002

ISBN: 9781451849608

Keywords: contagion effects, international spillovers, Russia, LTCM, contagion, bond, bond spreads, financial markets, bonds, Multiple or Simultaneous Equation Models: Models with Panel Data

We examine empirically the episode of extraordinary turbulence in global financial markets during 1998. The analysis focuses on the market assessment of credit risk captured by daily movements in bond spreads for t...

On the Estimation of Term Structure Models and An Application to the United States

On the Estimation of Term Structure Models and An Application to the United States »

Source: On the Estimation of Term Structure Models and An Application to the United States

Volume/Issue: 2010/258

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2010

ISBN: 9781455209583

Keywords: Term structure models of interest rates, interest rates, yields on bonds, bond, equation, time series, martingale, covariance, Financial Markets and the Macroeconomy,

This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper es...

Unanticipated Shocks and Systemic Influences

Unanticipated Shocks and Systemic Influences »

Source: Unanticipated Shocks and Systemic Influences : The Impact of Contagion in Global Equity Markets in 1998

Volume/Issue: 2003/84

Series: IMF Working Papers

Author(s): Brenda Gonzalez-Hermosillo , Vance Martin , Renee Fry , and Mardi Dungey

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2003

ISBN: 9781451850666

Keywords: Contagion, International Spillovers, Russia, LTCM, financial markets, bond, equity market, Multiple or Simultaneous Equation Models: Models with Panel Data, Financial Markets and the Macroeconomy, International Lending and Debt Problems,

August to September 1998 has been characterized as one of the worst episodes of global financial distress in decades. This paper investigates the transmission of the Russian and the LTCM crises through global equit...

The Impact of Macroeconomic Announcements on Emerging Market Bonds

The Impact of Macroeconomic Announcements on Emerging Market Bonds »

Volume/Issue: 2005/83

Series: IMF Working Papers

Author(s): Jochen Andritzky , Geoffrey Bannister , and Natalia Tamirisa

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2005

DOI: http://dx.doi.org/10.5089/9781451861020.001

ISBN: 9781451861020

Keywords: Announcement, emerging market bonds, news, crisis, bond, equation, bonds, financial markets, anova,

This paper examines how emerging bond markets react to macroeconomic announcements. Global bond spreads respond to rating actions and changes in global interest rates rather than domestic data and policy announceme...

The IMF in a World of Private Capital Markets

The IMF in a World of Private Capital Markets »

Volume/Issue: 2005/84

Series: IMF Working Papers

Author(s): Ashoka Mody , Barry Eichengreen , and Kenneth Kletzer

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2005

DOI: http://dx.doi.org/10.5089/9781451861037.001

ISBN: 9781451861037

Keywords: signaling, bond, bonds, equation, probability, bond markets, International Monetary Arrangements and Institutions, International Lending and Debt Problems,

The IMF attempts to catalyze and stabilize private capital flows to emerging markets by providing public monitoring and emergency finance. In analyzing its role we contrast cases where banks and bondholders do the...