IMF Working Papers Volume 2003 Issue 251: Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises (2003)

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

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Ms. Brenda Gonzalez-Hermosillo

Ms. Brenda Gonzalez-Hermosillo
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Mr. Vance Martin

Mr. Vance Martin null

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Mr. Mardi Dungey

Mr. Mardi Dungey null

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Ms. Renee Fry

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Series:: IMF Working Papers

Volume/Issue:: Volume 2003: Issue 251

Language:: English

Publication Date:: 01 Dec 2003

DOI:: https://doi.org/10.5089/9781451875928.001

ISBN:: 9781451875928

ISSN:: 1018-5941

Pages:: 44

Keywords:: WP; bond spread; Risk Aversion; Bond Markets; Financial Crises; SVAR; risk variable; risk premia; bond Index; volatility risk; emerging market bond; risk appetite; Yield curve; Emerging and frontier financial markets; Credit risk; Securities markets; Global; Eastern Europe

Legal-disclaimer:: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

Series:: IMF Working Papers

Volume/Issue:: Volume 2003: Issue 251

Language:: English

Publication Date:: 01 Dec 2003

DOI:: https://doi.org/10.5089/9781451875928.001

ISBN:: 9781451875928

ISSN:: 1018-5941

Pages:: 44

Keywords:: WP; bond spread; Risk Aversion; Bond Markets; Financial Crises; SVAR; risk variable; risk premia; bond Index; volatility risk; emerging market bond; risk appetite; Yield curve; Emerging and frontier financial markets; Credit risk; Securities markets; Global; Eastern Europe

Legal-disclaimer:: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

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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 studied individually. A historical decomposition of bond spreads is used to identify the relative contributions of risk during 1998-99. The empirical results show that the Russian/LTCM crises were characterized by increases in global credit risk, while the relative size of global risk factors was mixed for the Brazilian crisis, with no component dominating. Country risk is found to be important for all countries, while there is little evidence of contagion risk.

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IMF Working Papers

ISSN:: 1018-5941

Publisher:: International Monetary Fund

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