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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...

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...

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...

Pricing of Sovereign Credit Risk

Pricing of Sovereign Credit Risk »

Source: Pricing of Sovereign Credit Risk : Evidence From Advanced Economies During the Financial Crisis

Volume/Issue: 2012/24

Series: IMF Working Papers

Author(s): Emre Alper , Lorenzo Forni , and Marc Gerard

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2012

ISBN: 9781463931865

Keywords: bond, arbitrage, bonds, stock prices, Advanced Economies, Sovereign Spreads, Fiscal Risks,

We investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by examining two widely-used indicators: sovereign credit default swap (CDS) and relative asset swap (RA...

Euro Area Sovereign Risk During the Crisis

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

DOI: http://dx.doi.org/10.5089/9781451873696.001

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...

Spatial Spillovers in Emerging Market Spreads

Spatial Spillovers in Emerging Market Spreads »

Source: Spatial Spillovers in Emerging Market Spreads

Volume/Issue: 2011/221

Series: IMF Working Papers

Author(s): Salvatore Dell'Erba , Emanuele Baldacci , and Tigran Poghosyan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2011

ISBN: 9781463904234

Keywords: sovereign spreads, emerging market, spatial econometrics, external debt, bond, currency crises, sovereign bond, total external debt, International Finance: General,

We use novel spatial econometrics techniques to explore spillovers in the sovereign bond market for 24 emerging economies during 1995-2010. The paper extends the previous literature focusing on spillover effects fr...

Italian Sovereign Spreads

Italian Sovereign Spreads »

Source: Italian Sovereign Spreads : Their Determinants and Pass-through to Bank Funding Costs and Lending Conditions

Volume/Issue: 2013/84

Series: IMF Working Papers

Author(s): Edda Zoli

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 03 April 2013

ISBN: 9781484357705

Keywords: Italian sovereign spreads, bank funding costs, lending conditions, bond, bonds, government bond, bond yields, bond spreads, Financial Markets and the Macroeconomy, Asset Pricing,

Volatility in Italian sovereign spreads has increased since mid-2011. This paper finds that news on the euro area debt crisis and country specific events were important drivers of sovereign spreads. Movements in so...

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

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

DOI: http://dx.doi.org/10.5089/9781451868722.001

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...

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

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

DOI: http://dx.doi.org/10.5089/9781451871173.001

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...

Do Economists' and Financial Markets' Perspectives on the New Members of the EU differ?1

Do Economists' and Financial Markets' Perspectives on the New Members of the EU differ?1 »

Source: Do Economists' and Financial Markets' Perspectives on the New Members of the EU differ?

Volume/Issue: 2007/65

Series: IMF Working Papers

Author(s): Susan Schadler , and Pipat Luengnaruemitchai

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2007

ISBN: 9781451866292

Keywords: New Member States, Sovereign Spreads, bond, sovereign bond, current account, global liquidity, Financial Markets and the Macroeconomy, General Outlook and Conditions,

In the past several years, the ten new Central and Eastern European members of the European Union have enjoyed rapid growth but frequently alongside growing external imbalances. Economists have pointed to rising vu...