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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...

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...

Belgium

Belgium »

Source: Belgium : Selected Issues Paper

Volume/Issue: 2012/56

Series: IMF Staff Country Reports

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 20 March 2012

ISBN: 9781475502398

Keywords: banking, banking sector, bond, government bond, bond spread

This Selected Issues Paper on Belgium provides an overview of the extent of trade and financial openness of Belgium and the links to particular countries. With an export-to-GDP ratio of 79 percent, Belgium belongs...

Belgium: Selected Issues Paper

Belgium: Selected Issues Paper »

Source: Belgium : Selected Issues Paper

Volume/Issue: 2012/56

Series: IMF Staff Country Reports

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 20 March 2012

ISBN: 9781475502398

Keywords: banking, banking sector, bond, government bond, bond spread

This Selected Issues Paper on Belgium provides an overview of the extent of trade and financial openness of Belgium and the links to particular countries. With an export-to-GDP ratio of 79 percent, Belgium belongs...

Belgium: Selected Issues Paper

Belgium: Selected Issues Paper »

Source: Belgium : Selected Issues Paper

Volume/Issue: 2012/56

Series: IMF Staff Country Reports

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 20 March 2012

ISBN: 9781475502398

Keywords: banking, banking sector, bond, government bond, bond spread

This Selected Issues Paper on Belgium provides an overview of the extent of trade and financial openness of Belgium and the links to particular countries. With an export-to-GDP ratio of 79 percent, Belgium belongs...

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...

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...

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...

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...