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The Effect of External Conditions on Growth in Latin America

The Effect of External Conditions on Growth in Latin America »

Source: The Effect of External Conditions on Growth in Latin America

Volume/Issue: 2007/176

Series: IMF Working Papers

Author(s): Jeronimo Zettelmeyer , and Pär Österholm

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2007

ISBN: 9781451867404

Keywords: Bayesian VAR, world growth, bond, bond spread,

This paper investigates the sensitivity of Latin American GDP growth to external developments using a Bayesian VAR model with informative steady-state priors. The model is estimated on quarterly data from 1994 to 2...

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...

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...

The Pricing of Credit Default Swaps During Distress

The Pricing of Credit Default Swaps During Distress »

Source: The Pricing of Credit Default Swaps During Distress

Volume/Issue: 2006/254

Series: IMF Working Papers

Author(s): Manmohan Singh , and Jochen Andritzky

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2006

ISBN: 9781451865141

Keywords: Credit default swaps, recovery value, default risk, bond, bonds, arbitrage, bond market, bond spreads, International Lending and Debt Problems,

Credit default swaps (CDS) provide the buyer with insurance against certain types of credit events by entitling him to exchange any of the bonds permitted as deliverable against their par value. Unlike bonds, whose...

International Pricing of Emerging Market Corporate Debt

International Pricing of Emerging Market Corporate Debt »

Source: International Pricing of Emerging Market Corporate Debt : Does the Corporate Matter?

Volume/Issue: 2010/26

Series: IMF Working Papers

Author(s): Sonja Keller , and Ashoka Mody

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2010

ISBN: 9781451962475

Keywords: Corporate bonds, bond spreads, Fama-French factors, equity returns, bonds, bond, General Financial Markets, Corporate Finance And Governance,

We examine risk spreads charged on corporate bonds placed by emerging market borrowers on international exchanges. While global developments have an important effect on spreads, changes in firm-level default risk a...

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 Debt Sustainability and the Level of Debt on Emerging Markets Spreads1

The Impact of Debt Sustainability and the Level of Debt on Emerging Markets Spreads1 »

Source: The Impact of Debt Sustainability and the Level of Debt on Emerging Markets Spreads

Volume/Issue: 2013/93

Series: IMF Working Papers

Author(s): Nazim Belhocine , and Salvatore Dell'Erba

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2013

ISBN: 9781484382769

Keywords: sovereign spreads, emerging markets debt, external debt, sovereign bond, Financial Markets and the Macroeconomy, International Lending and Debt Problems, emerging markets debt.,

How do financial markets respond to concerns over debt sustainability and the level of public debt in emerging markets? We introduce a measure of debt sustainability – the difference between the debt stabili...

The Effect of External Conditions on Growth in Latin America

The Effect of External Conditions on Growth in Latin America »

Volume/Issue: 2007/176

Series: IMF Working Papers

Author(s): Jeronimo Zettelmeyer , and Pär Österholm

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2007

DOI: http://dx.doi.org/10.5089/9781451867404.001

ISBN: 9781451867404

Keywords: Bayesian VAR, world growth, bond, bond spread,

This paper investigates the sensitivity of Latin American GDP growth to external developments using a Bayesian VAR model with informative steady-state priors. The model is estimated on quarterly data from 1994 to 2...

Does Sdds Subscription Reduce Borrowing Costs for Emerging Market Economies

Does Sdds Subscription Reduce Borrowing Costs for Emerging Market Economies »

Source: Does Sdds Subscription Reduce Borrowing Costs for Emerging Market Economies

Volume/Issue: 2004/58

Series: IMF Working Papers

Author(s): John Cady

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2004

ISBN: 9781451847895

Keywords: Sovereign debt and yield spreads, data transparency, SDDS, bond, capital markets, international capital, bonds, International Monetary Arrangements and Institutions, International Lending and Debt Problems,

Does macroeconomic data transparency-as signaled by subscription to the IMF's Special Data Dissemination Standard (SDDS)-help reduce borrowing costs in private capital markets? This question is examined using detai...

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...