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Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises

Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises »

Source: Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises

Volume/Issue: 2003/251

Series: IMF Working Papers

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

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2003

ISBN: 9781451875928

Keywords: Risk Aversion, SVAR, bond, bond spreads, statistics, financial markets, Multiple or Simultaneous Equation Models: Models with Panel Data, Financial Markets and the Macroeconomy, International Lending and Debt Problems,

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...

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...

Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises

Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises »

Volume/Issue: 2003/251

Series: IMF Working Papers

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

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2003

DOI: http://dx.doi.org/10.5089/9781451875928.001

ISBN: 9781451875928

Keywords: Risk Aversion, SVAR, bond, bond spreads, statistics, financial markets, Multiple or Simultaneous Equation Models: Models with Panel Data, Financial Markets and the Macroeconomy, International Lending and Debt Problems,

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...

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...