Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Emerging Market Spread Compression
Download Emerging Market Spread Compression full books in PDF, epub, and Kindle. Read online Emerging Market Spread Compression ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Emerging Market Spread Compression by : Kristian Hartelius
Download or read book Emerging Market Spread Compression written by Kristian Hartelius and published by International Monetary Fund. This book was released on 2008 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 liquidity. The paper models spreads and attempts to empirically distinguish between the two factors. The results indicate that fundamentals, as embedded in credit ratings, are very important, but that expectations of future U.S. interest rates and volatility in those expectations are also a key determinant of emerging market spreads.
Book Synopsis Determinants of Sovereign Bond Spreads in Emerging Markets by : Mr.Balazs Csonto
Download or read book Determinants of Sovereign Bond Spreads in Emerging Markets written by Mr.Balazs Csonto and published by International Monetary Fund. This book was released on 2013-07-10 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 developments, and find that while both country-specific and global developments are important in the long-run, global factors are main determinants of spreads in the short-run. Second, we investigate whether and how the strength of fundamentals is related to the sensitivity of spreads to global factors. Countries with stronger fundamentals tend to have lower sensitivity to changes in global risk aversion. Third, we decompose changes in spreads and analyze the behavior of explained and unexplained components over different periods. To do so, we break down fitted changes in spreads into the contribution of country-specific and global factors, as well as decompose changes in the residual into the correction of initial misalignment and an increase/decrease in misalignment. We find that changes in spreads follow periods of tightening/widening, which are well-explained by the model; and the dynamics of the components of the unexplained residual follow all the major developments that impact market sentiment. In particular, we find that in the periods of severe marketstress, such as during the intensive phase of the Eurozone debt crisis, global factors tend to drive changes in the spreads and the misalignment tends to increase in magnitude and its relative share in actual spreads.
Book Synopsis Determinants of Emerging Market Bond Spread by : Hong G. Min
Download or read book Determinants of Emerging Market Bond Spread written by Hong G. Min and published by World Bank Publications. This book was released on 1998 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: March 1998 Macroeconomic variables matter and so does liquidity. External shocks (international interest rates) appear not to matter. In the 1990s international bond issues from developing countries surged dramatically, becoming one of the fastest-growing devices for financing external development. Their terms have improved as institutional investors have become more interested in emerging market securities and better economic prospects in a number of developing countries. But little is known about what determines the pricing and thus the yield spreads of new emerging market bond issues. Min investigates what determines bond spreads in emerging markets in the 1990s. He finds that strong macroeconomic fundamentals in a country-such as low domestic inflation rates, improved terms of trade, and increased foreign assets-are associated with lower yield spreads. By contrast, higher yield spreads are associated with weak liquidity variables in a country, such as a high debt-to-GDP ratio, a low ratio of foreign reserves to GDP, a low (high) export (import) growth rate, and a high debt-service ratio. At the same time, external shocks-as measured by the international interest rate-matter little in the determination of bond spreads. In the aggregate, Latin American countries have a negative yield curve. This paper-a product of the Development Research Group-is part of a larger effort in the group to study international transmission of financial crises in emerging economies.
Book Synopsis Emerging Market Sovereign Bond Spreads by : Mr.Fabio Comelli
Download or read book Emerging Market Sovereign Bond Spreads written by Mr.Fabio Comelli and published by International Monetary Fund. This book was released on 2012-08-01 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 spreads. The impact and significance of country-specific and global explanatory variables on bond spreads varies across regions, as well as economic periods. During crisis times, good macroeconomic fundamentals are helpful in containing bond spreads, but less than in non-crisis times, possibly reflecting the impact of extra-economic forces on bond spreads when a financial crisis occurs. For some emerging economies, in-sample predictions of the monthly changes in bond spreads obtained with rolling regression routines are significantly more accurate than forecasts obtained with a random walk. Rolling regression-based bond spread predictions appear to convey more information than those obtained with a linear prediction method. By contrast, bond spreads forecasts obtained with a linear prediction method are less accurate than those obtained with random guessing.
Book Synopsis Emerging Market Bond Spreads and Sovereign Credit Ratings by : Mr.Amadou N. R. Sy
Download or read book Emerging Market Bond Spreads and Sovereign Credit Ratings written by Mr.Amadou N. R. Sy and published by INTERNATIONAL MONETARY FUND. This book was released on 2001-10-01 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 asymmetric adjustment of spreads and ratings when such deviations are significant. In addition, the paper illustrates how significant disagreements between market and rating agencies' views can be used as a signal that further technical and sovereign analysis is warranted. For instance, we find that spreads were "excessively low" for most emerging markets before the Asian crisis. More recently, spreads were "excessively high" for a number of emerging markets.
Book Synopsis Determinants of Emerging Market Sovereign Bond Spreads by : Iva Petrova
Download or read book Determinants of Emerging Market Sovereign Bond Spreads written by Iva Petrova and published by International Monetary Fund. This book was released on 2010-12-01 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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. During the current global financial and economic crisis, sovereign bond spreads widened dramatically for both developed and emerging market economies. This deterioration has widely been attributed to rapidly growing public debts and balance sheet risks. Our results indicate that in the long run, fundamentals are significant determinants of emerging market sovereign bond spreads, while in the short run, financial volatility is a more important determinant of sperads than fundamentals indicators.
Book Synopsis Sovereign Credit Ratings and Spreads in Emerging Markets by : Laura Jaramillo
Download or read book Sovereign Credit Ratings and Spreads in Emerging Markets written by Laura Jaramillo and published by International Monetary Fund. This book was released on 2011-03-01 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: Sovereign investment grade status is often associated with lower spreads in international markets. Using a panel framework for 35 emerging markets between 1997 and 2010, thispaper finds that investment grade status reduces spreads by 36 percent, above and beyond what is implied by macroeconomic fundamentals. This compares to a 5-10 percent reduction in spreads following upgrades within the investment grade asset class, and no impact formovements within the speculative grade asset class, ceteris paribus. While global financial conditions play a central role in determining spreads, market sentiment improves with lower external public debt to GDP levels and higher domestic growth rates.
Book Synopsis Emerging Markets and Financial Globalization by : Paolo Mauro
Download or read book Emerging Markets and Financial Globalization written by Paolo Mauro and published by Oxford University Press, USA. This book was released on 2006-03-16 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: The frequency and virulence of recent financial crises have led to calls for reform of the current international financial architecture. In an effort to learn more about today's international financial environment, the authors turn to an earlier era of financial globalization between 1870 and 1913. By examining data on sovereign bonds issued by borrowing developing countries in this earlier period and in the present day, the authors are able to identify the characteristics ofsuccessful borrowers in the two periods. They are then able to show that global crises or contagion are a feature of the 1990s which was hardly known in the previous era of globalization. Finally, the authors draw lessons for today from archival data on mechanisms used by British investors in the 19thcentury to address sovereign defaults. Using new qualitative and quantitative data, the authors skilfully apply a variety of approaches in order to better understand how problems of volatility and debt crises are dealt with in international financial markets.
Book Synopsis Global Monetary Conditions Versus Country-specific Factors in the Determination of Emerging Market Debt Spreads by : Mansoor Dailami
Download or read book Global Monetary Conditions Versus Country-specific Factors in the Determination of Emerging Market Debt Spreads written by Mansoor Dailami and published by World Bank Publications. This book was released on 2005 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: "The authors offer evidence that U.S. interest rate policy has an important influence in the determination of credit spreads on emerging market bonds over U.S. benchmark treasuries and therefore on their cost of capital. Their analysis improves on the existing literature and understanding by addressing the dynamics of market expectations in shaping views on interest rate and monetary policy changes and by recognizing nonlinearities in the link between U.S. interest rates and emerging market bond spreads, as the level of interest rates affect the market's perceived probability of default and the solvency of emerging market borrowers. For a country with a moderate level of debt, repayment prospects would remain good in the face of an increase in U.S. interest rates, so there would be little increase in spreads. A country close to the borderline of solvency would face a steeper increase in spreads. Simulations of a 200 basis points (bps) increase in U.S. interest rates show an increase in emerging market spreads ranging from 6 bps to 65 bps, depending on debt/GDP ratios. This would be in addition to the increase in the benchmark U.S. 10 year Treasury rate."--World Bank web site.
Book Synopsis Correlations in Emerging Market Bonds by : Mr.A. Javier Hamann
Download or read book Correlations in Emerging Market Bonds written by Mr.A. Javier Hamann and published by International Monetary Fund. This book was released on 2010-01-01 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the comovement in emerging market bond returns and disentangles the influence of external and domestic factors. The conceptual framework, set in the context of asset allocation, allows us to describe the channels through which shocks originating in a particular emerging or mature market are transmitted across countries and markets. We show that using a simple measure of cross-country correlations together with the commonly used average correlation coefficient can be more informative during episodes of heightened market instability. Data for the period 1997-2008 are analyzed for evidence of true contagion and common external shocks.
Book Synopsis Drivers of Emerging Market Bond Flows and Prices by : Mr. Evan Papageorgiou
Download or read book Drivers of Emerging Market Bond Flows and Prices written by Mr. Evan Papageorgiou and published by International Monetary Fund. This book was released on 2021-12-16 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: An interesting disconnect has taken shape between local currency- and hard currency-denominated bonds in emerging markets with respect to their portfolio flows and prices since the start of the recovery from the COVID-19 pandemic. Emerging market assets have recovered sharply from the COVID-19 sell-off in 2020, but the post-pandemic recovery in 2021 has been highly uneven. This note seeks to answer why. Yields of local currency-denominated bonds have risen faster and are approaching their pandemic highs, while hard currency bond yields are still near their post-pandemic lows. Portfolio flows to local currency debt have similarly lagged flows to hard currency bonds. This disconnect is closely linked to the external environment and fiscal and inflationary pressures. Its evolution remains a key consideration for policymakers and investors, since local markets are the main source of funding for emerging markets. This note draws from the methodology developed in earlier Global Financial Stability Reports on fundamentals-based asset valuation models for funding costs and forecasting models for capital flows (using the at-risk framework). The results are consistent across models, indicating that local currency assets are significantly more sensitive to domestic fundamentals while hard currency assets are dependent on the external risk sentiment to a greater extent. This suggests that the post-pandemic, stressed domestic fundamentals have weighed on local currency bonds, partially offsetting the boost from supportive global risk sentiment. The analysis also highlights the risks emerging markets face from an asynchronous recovery and weak domestic fundamentals.
Book Synopsis Emerging Market Spreads by : Mr.Paolo Mauro
Download or read book Emerging Market Spreads written by Mr.Paolo Mauro and published by INTERNATIONAL MONETARY FUND. This book was released on 2000-11-01 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes yield spreads on sovereign debt issued by emerging markets using modern data from the 1990s and newly-collected historical data on debt traded in London during 1870–1913, a previous “golden era” for international capital market integration. Applying several empirical approaches, we show that the co-movement of spreads across emerging markets is higher today than it was in the historical sample. We also show that sharp changes in spreads today tend to be mostly related to global events, whereas country-specific events played a bigger role in 1870–1913. Although we find some evidence that economic fundamentals, too, co-move more strongly today than at that earlier time, our interpretation of the results is that today’s investors pay less attention to country-specific events than their predecessors did in 1870–1913.
Book Synopsis The Determinants of Corporate Risk in Emerging Markets by : Eduardo A. Cavallo
Download or read book The Determinants of Corporate Risk in Emerging Markets written by Eduardo A. Cavallo and published by International Monetary Fund. This book was released on 2007-09 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study explores the determinants of corporate bond spreads in emerging markets economies. Using a largely unexploited dataset, the paper finds that corporate bond spreads are determined by firm-specific variables, bond characteristics, macroeconomic conditions, sovereign risk, and global factors. A variance decomposition analysis shows that firm-level characteristics account for the larger share of the variance. In addition, the paper finds two asymmetries. The first is in line with the sovereign ceiling "lite" hypothesis which states that the transfer of risk from the sovereign to the private sector is less than 1 to 1. The second is consistent with the popular notion that panics are common in emerging markets where investors are less informed and more prone to herding.
Book Synopsis Is it (still) Mostly Fiscal? by : Emanuele Baldacci
Download or read book Is it (still) Mostly Fiscal? written by Emanuele Baldacci and published by . This book was released on 2008 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a panel of 30 emerging market economies from 1997 to 2007, this paper investigates the determinants of country risk premiums as measured by sovereign bond spreads. Unlike previous studies, the results indicate that both fiscal and political factors matter for credit risk in emerging markets. Lower levels of political risk are associated with tighter spreads, while efforts at fiscal consolidation narrow credit spreads, especially in countries that experienced prior defaults. The composition of fiscal policy matters: spending on public investment contributes to lower spreads as long as the fiscal position remains sustainable and the fiscal deficit does not worsen.
Book Synopsis Global Monetary Conditions Versus Country-Specific Factors in the Determination of Emerging Market Debt Spreads by : Mansoor Dailami
Download or read book Global Monetary Conditions Versus Country-Specific Factors in the Determination of Emerging Market Debt Spreads written by Mansoor Dailami and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: US interest rate policy is shown to have a significant influence on emerging market bond spreads, but it is important to allow for non-linearities: US interest rates affect secondary market spreads differently, depending on countries' debt levels. Moderate debtors suffer little impact from an increase in US interest rates, while a country close to the borderline of solvency would face a much steeper increase in its spread. A 200 basis points increase in US short-term interest rates would increase emerging market spreads by 6-65 bps, depending on debt/GNI ratios.
Book Synopsis Determinants of Sovereign Bond Spreads in Emerging Markets by : Mr.Balazs Csonto
Download or read book Determinants of Sovereign Bond Spreads in Emerging Markets written by Mr.Balazs Csonto and published by International Monetary Fund. This book was released on 2013-07-10 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 developments, and find that while both country-specific and global developments are important in the long-run, global factors are main determinants of spreads in the short-run. Second, we investigate whether and how the strength of fundamentals is related to the sensitivity of spreads to global factors. Countries with stronger fundamentals tend to have lower sensitivity to changes in global risk aversion. Third, we decompose changes in spreads and analyze the behavior of explained and unexplained components over different periods. To do so, we break down fitted changes in spreads into the contribution of country-specific and global factors, as well as decompose changes in the residual into the correction of initial misalignment and an increase/decrease in misalignment. We find that changes in spreads follow periods of tightening/widening, which are well-explained by the model; and the dynamics of the components of the unexplained residual follow all the major developments that impact market sentiment. In particular, we find that in the periods of severe marketstress, such as during the intensive phase of the Eurozone debt crisis, global factors tend to drive changes in the spreads and the misalignment tends to increase in magnitude and its relative share in actual spreads.
Book Synopsis Emerging Market Volatility by : Ms.Ratna Sahay
Download or read book Emerging Market Volatility written by Ms.Ratna Sahay and published by International Monetary Fund. This book was released on 2014-10-02 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Accommodative monetary policies in advanced economies have spurred increased capital inflows into emerging markets since the global financial crisis. Starting in May 2013, when the Federal Reserve publicly discussed its plans for tapering unconventional monetary policies, these emerging markets have experienced financial turbulence at the same that their domestic economic activity has slowed. This paper examines their experiences and policy responses and draws broad policy lessons. For emerging markets, good macroeconomic fundamentals matter, and early and decisive measures to strengthen macroeconomic policies and reduce vulnerabilities help dampen market reactions to external shocks. For advanced economies, clear and effective communication about the exit from unconventional monetary policy can and did help later to reduce the risk of excessive market volatility. And for the global community, enhanced global cooperation, including a strong global financial safety net, offers emerging markets effective protection against excessive volatility.
