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.

Download or read book Analysis of Emerging Markets Sovereign Credit Spreads written by Marco S. Matsumura and published by . This book was released on 2005 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Analysis of Emerging Markets Sovereign Credit Spreads written by Marco Shinobu Matsumura and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Our objective is to implement a credit risk pricing model for sovereign bonds and estimate the model for a historical series of yields of emerging markets bonds. We use a reduced model with a Vasicek 2-factor model on Brazilian sovereign data. The estimation occurs in two stages. Using Maximum Likelihood, we first estimate the parameters corresponding to the reference curve. Then, we find the estimates of the set of parameters corresponding to the defaultable curve conditional on the default- free parameters. The estimated model is used to calculate the dynamics of the term structure of interest rates, of credit spreads and of default probabilities.

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 28 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.

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.

Download or read book Emerging Market Bond Spreads and Sovereign Credit Ratings written by Amadou Nicolas Racine Sy and published by . This book was released on 2006 with total page 29 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 quot;excessively lowquot; for most emerging markets before the Asian crisis. More recently, spreads were quot;excessively highquot; for a number of emerging markets.

Download or read book Sovereign Default Risk and Private Sector Access to Capital in Emerging Markets written by Mr.Udaibir S. Das and published by International Monetary Fund. This book was released on 2010-01-01 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Top down spillovers of sovereign default risk can have serious consequences for the private sector in emerging markets. This paper analyzes the effects of these spillovers using firm-level data from 31 emerging market economies. We assess how sovereign risk affects corporate access to international capital markets, in the form of external credit (loans and bond issuances) and equity issuances. The study first analyzes the impact of sovereign debt crises during the 1980s and 1990s. It goes on to examine the 1993 to 2007 period, using additional measures of sovereign risk-sovereign bond spreads and sovereign ratings-as explanatory variables. Overall, we find that sovereign default risk is a crucial determinant of private sector access to capital, be it external debt or equity. We also find that crisis resolution patterns matter and that defaults towards private creditors have stronger adverse consequences than defaults to official creditors.

Download or read book Emerging Market Risk and Sovereign Credit Ratings written by Guillermo Larraín and published by . This book was released on 1997 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Does Gross or Net Debt Matter More for Emerging Market Spreads written by Metodij Hadzi-Vaskov and published by International Monetary Fund. This book was released on 2017-01-18 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: Does gross or net debt matter for long-term sovereign spreads in emerging markets? The topic is important for undestanding the borrowing cost implications of public assetliability management decisions (e.g. using assets to lower debt). We investigate this question using data on emerging market economies (EMEs) over the period 1998–2014. We find that both gross debt and assets have a significant impact on long-term sovereign bond spreads in emerging markets, with effects roughly offsetting each other (coefficients of opposite sign and similar magnitude). Hence, net debt seems more appropriate than gross debt when evaluating the impact of indebtedness on spreads. The empirical results suggest that an increase in net debt by 10 percentage points of GDP implies an increase in the spread by 100–120 basis points, and the effect is larger during periods of domestic distress. The key results from this empirical study are quite robust to alternative specifications and subgroups of EMEs.

Download or read book Predictability in Emerging Sovereign Debt Markets written by Gergana Jostova and published by . This book was released on 2007 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper finds strong evidence of predictability in Brady bonds, the most liquid emerging debt market, by implementing a new model for credit spreads. Predictability is economically and statistically significant and robust to various considerations. Active management provides US investors in emerging markets with double the buy-and-hold returns at lower risk and the equivalent of free options on Brady bonds. Our analysis suggests that predictability is primarily driven by credit spread deviations from fundamentals, rather than time-varying risk or risk premia. We believe this inefficiency is the result of the restrictions of a non-transparent, institutionally dominated, dealer market and the lack of a well developed derivatives market for emerging country credit risk.

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.

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.

Download or read book The Impact of the Great Recession on Emerging Markets written by MissMali Chivakul and published by International Monetary Fund. This book was released on 2010-10-01 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the impact of the recent global crisis on emerging market economies (EMs). Our cross-country analysis shows that the impact of the crisis was more pronounced in those EMs that had initial weaker fundamentals and greater financial and trade linkages. This effect is observed along a number of dimensions, such as growth, stock market performance, sovereign spreads, and credit growth. This paper also shows that during this crisis, pre-crisis reserve holdings helped to mitigate the initial growth collapse. This finding contrasts with other studies that fail to find a significant relationship between reserves and the growth decline. This paper argues that our preferred measure of impact is a more accurate reflection of the true impact of the crisis on EMs.

Download or read book Determinants of Spread Credit Ratings and Creditworthiness for Emerging Market Sovereign Debt written by Peter Rowland and published by . This book was released on 2004 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Emerging Markets and Sovereign Risk written by N. Finch and published by Springer. This book was released on 2014-12-09 with total page 311 pages. Available in PDF, EPUB and Kindle. Book excerpt: Emerging Markets and Sovereign Risk provides case studies, commentary and analysis on the financial risk management and measurement in the context of frontier and developing counties from international experts covering three key areas of emerging market investments, the rating sovereign risk and managing sovereign risk.

Download or read book Investing in Emerging Fixed Income Markets written by Frank J. Fabozzi, CFA and published by John Wiley & Sons. This book was released on 2002-03-22 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: An investor's guide to capitalizing on opportunities in the fixed income markets of emerging economies The fixed income market in emerging countries represents a new and potentially lucrative area of investment for professionals, but with great risk. Investing in Emerging Fixed Income Markets shows investors how to identify solid investment opportunities, assess the risk potential, and develop an investment approach to enhance long-term returns. Contributors to this book, among the leading experts from around the world, share their insights, advice, and knowledge on a range of topics that will help investors make the right decisions and choices when dealing with emerging fixed income markets. This fully updated and revised edition of the Handbook of Emerging Fixed Income and Currency Markets is the best guide for navigating the complicated world of emerging fixed income markets. Efstathia Pilarinu (Strasbourg, France) is a consultant specializing in the derivatives and emerging market fixed income areas. She has worked for several major Wall Street firms, including Salomon Brothers, Bankers Trust, Societe General. She has a doctorate degree and an MBA in finance from the University of Tennessee and an undergraduate degree in mathematics from the University of Patras, Greece. John Wiley & Sons, Inc. is proud to be the publisher of the esteemed Frank J. Fabozzi Series. Comprising nearly 100 titles--which include numerous bestsellers--The Frank J. Fabozzi Series is a key resource for finance professionals and academics, strategists and students, and investors. The series is overseen by its eponymous editor, whose expert instruction and presentation of new ideas have been at the forefront of financial publishing for over twenty years. His successful career has provided him with the knowledge, insight, and advice that has led to this comprehensive series. Frank J. Fabozzi, PhD, CFA, CPA, is Editor of the Journal of Portfolio Management, which is read by thousands of institutional investors, as well as editor or author of over 100 books on finance for the professional and academic markets. Currently, Dr. Fabozzi is an adjunct Professor of Finance at Yale University's School of Management and on the board of directors of the Guardian Life family of funds and the Black Rock complex of funds.

Download or read book Inside the Emerging Markets Risky Spreads and Credit Default Swap Sovereign Bonds Basis written by Vilimir Yordanov and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper considers a no-arbitrage setting for pricing and relative value analysis of risky sovereign bonds. The typical case of an emerging market country (EM) that has bonds outstanding both in foreign hard currency (Eurobonds) and local soft currency (treasuries) is inspected. The resulting two yield curves give rise to a credit and currency spread that need further elaboration. We discuss their proper measurement, derive and analyze the necessary no-arbitrage conditions that must hold, and extract and quantify the inherent risk premia. Then we turn attention to the CDS-Bond basis in this multi-curve environment. For EM countries the concept shows certain specifics both in theoretical background and empirical performance. The paper further focuses on analyzing these peculiarities. If the proper measurement of the basis in the standard case of only hard currency debt being issued is still problematic, the situation is much more complicated in a multi-curve setting when a further contingent claim on the sovereign risk in the face of local currency debt curve appears. We investigate the issue and provide relevant theoretical and empirical input.