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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...

Determinants of Sovereign Bond Spreads in Emerging Markets

Determinants of Sovereign Bond Spreads in Emerging Markets »

Source: Determinants of Sovereign Bond Spreads in Emerging Markets : Local Fundamentals and Global Factors vs. Ever-Changing Misalignments

Volume/Issue: 2013/164

Series: IMF Working Papers

Author(s): Balazs Csonto , and Iryna Ivaschenko

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 10 July 2013

ISBN: 9781475573206

Keywords: Emerging market debt, spreads, misalignment, bond, bond spreads, emerging market bond, market bond, Asset Pricing,

We analyze the relationship between global and country-specific factors and emerging market debt spreads from three different angles. First, we aim to disentangle the effect of global and country-specific developme...

Debt Crises and the Development of International Capital Markets

Debt Crises and the Development of International Capital Markets »

Source: Debt Crises and the Development of International Capital Markets

Volume/Issue: 2004/44

Series: IMF Working Papers

Author(s): Amadou Sy , and Andrea Pescatori

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2004

ISBN: 9781451846447

Keywords: Bond spreads, debt crisis, bond, debt crises, sovereign bond, bonds, Financial Institutions and Services: General,

Crises on external sovereign debt are typically defined as defaults. Such a definition accurately captures debt-servicing difficulties in the 1980s, a period of numerous defaults on bank loans. However, defining de...

Determinants of Emerging Market Sovereign Bond Spreads

Determinants of Emerging Market Sovereign Bond Spreads »

Source: Determinants of Emerging Market Sovereign Bond Spreads : Fundamentals vs Financial Stress

Volume/Issue: 2010/281

Series: IMF Working Papers

Author(s): Iva Petrova , Michael Papaioannou , and Dimitri Bellas

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2010

ISBN: 9781455210886

Keywords: Sovereign bond spreads, Emerging markts, sovereign bond, bond, bond spreads, external debt, current account, International Lending and Debt Problems, Money And Interest Rates,

This paper analyses the determimants of emerging market sovereign bond spreads by examining the short and long-run effects of fundamental (macroeconomic) and temporary (financial market) factors on these spreads. D...

Emerging Market Bond Spreads and Sovereign Credit Ratings

Emerging Market Bond Spreads and Sovereign Credit Ratings »

Source: Emerging Market Bond Spreads and Sovereign Credit Ratings : Reconciling Market Views with Economic Fundamentals

Volume/Issue: 2001/165

Series: IMF Working Papers

Author(s): Amadou Sy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2001

ISBN: 9781451858051

Keywords: Bond spreads, monitoring, risk appetite, bond, bonds, emerging market bond, market bond, Financial Institutions and Services: General,

This paper uses a panel data estimation of a simple univariate model of sovereign spreads on ratings to analyze statistically significant deviations from the estimated relationship. We find evidence of an asymmetri...

Investors' Risk Appetite and Global Financial Market Conditions

Investors' Risk Appetite and Global Financial Market Conditions »

Source: Investors' Risk Appetite and Global Financial Market Conditions

Volume/Issue: 2008/85

Series: IMF Working Papers

Author(s): Brenda Gonzalez-Hermosillo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2008

ISBN: 9781451869460

Keywords: volatility risk, default risk, risk appetite, financial markets, bond, global financial markets, bond spreads, financial market,

A structural vector autoregression model is developed to analyze the dynamics of bond spreads among a sample of mature and developing countries during periods of financial stress in the last decade. The model ident...

How Does U.S. Monetary Policy Influence Economic Conditions in Emerging Markets?

How Does U.S. Monetary Policy Influence Economic Conditions in Emerging Markets? »

Source: How Does U.S. Monetary Policy Influence Economic Conditions in Emerging Markets?

Volume/Issue: 2000/148

Series: IMF Working Papers

Author(s): Vivek Arora , and Martin Cerisola

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2000

ISBN: 9781451856811

Keywords: U.S. monetary policy, sovereign bond spreads, herding, contagion, Multimod, sovereign bond, bond, debt service, external debt

This paper quantifies the economic impact of changes in U.S. monetary policy on emerging market countries. We explore empirically how country risk, as proxied by sovereign bond spreads, is influenced by U.S. moneta...

Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets1

Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets1 »

Source: Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets

Volume/Issue: 2004/27

Series: IMF Working Papers

Author(s): Jorge Chan-Lau , and Yoon Sook Kim

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2004

ISBN: 9781451844559

Keywords: Credit derivatives, bond spreads, price discovery, bond, cointegration, equity markets, General Financial Markets: General (includes Measurement and Data),

This paper examines equilibrium price relationships and price discovery between credit defaul swap (CDS), bond, and equity markets for emerging market sovereign issuers. Findings suggest that CDS and bond spreads c...

Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries

Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries »

Source: Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries

Volume/Issue: 2004/210

Series: IMF Working Papers

Author(s): Zhanwei Yue , and Samir Jahjah

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2004

ISBN: 9781451874822

Keywords: Sovereign Credit Spreads, Overvaluation, Debt Crises, exchange rate, exchange rate misalignment, bond spreads, bond issue, International Monetary Arrangements and Institutions, International Lending and Debt Problems,

We test the hypothesis of a link between exchange rate policy and sovereign bonds. We analyze the effect of exchange rate policies on supply and credit spreads of sovereign bonds issued by developing countries. An...

Moral Hazard and International Crisis Lending: A Test

Moral Hazard and International Crisis Lending: A Test »

Source: Moral Hazard and International Crisis Lending : A Test

Volume/Issue: 2002/181

Series: IMF Working Papers

Author(s): Giovanni Dell'Ariccia , Jeronimo Zettelmeyer , and Isabel Schnabel

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2002

ISBN: 9781451859201

Keywords: international lending, bond, crisis lending, bond spreads, bonds, International Lending and Debt Problems, Econometric Methods: - Single Equation Models,

We test for the existence of a moral hazard effect attributable to official crisis lending by analyzing the evolution of sovereign bond spreads in emerging markets before and after the Russian crisis. The nonbailou...