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.

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.

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 The Long Run Impact of Sovereign Yields on Corporate Yields in Emerging Markets written by Delong Li and published by International Monetary Fund. This book was released on 2021-06-04 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the long-run impact of emerging-market sovereign bond yields on corporate bond yields, finding that the average pass-through is around one. The pass-through is larger in countries with greater sovereign risks and where sovereign bonds are more liquid. It is also greater for corporate bonds with lower ratings, shorter maturities, and for those issued by financial companies and government-related firms. Our results support theoretical arguments that corporate and sovereign yields are linked together through credit risks and liquidity premiums. Consequently, high sovereign risks may slowdown growth by persistently increasing private sector borrowing costs.

Download or read book Determinants of Emerging Market Bond Spread written by Hong G. Min and published by . This book was released on 2016 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book U S Interest Rates and Emerging Market Bond Yield Spreads written by Cheikh Anta Gueye and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The empirical evidence on the impact of international interest rates on emerging market (EM) bond spreads is mixed. In this article, we closely examine the 2000-2009 period and find a negative relationship between U.S. interest rates and EM bond spreads. We argue that the relationship between U.S. short rates and EM bond spreads is unstable and can change depending on how other “push” and “pull” factors, such as investors' appetite for risk and emerging markets' economic fundamentals, interact.

Download or read book Emerging Market Yield Spreads written by Pierre L. Siklos and published by . This book was released on 2011 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the determinants of bond yield spreads for 22 emerging markets in the period 1998-2009. Several determinants are considered. In addition, I consider the connection between volatility and bond yield spreads. Volatility and central bank transparency are two factors common to all countries examined whereas clear idiosyncrasies are found according to whether emerging markets are in Latin and South America, Europe, Asia or Africa. Most notably, the global financial crisis raised yield spreads, except in Asia, which suggests that, in a sense, bond markets in that region were decoupled from those in other parts of the world.

Download or read book Emerging Market Spreads written by Paolo Mauro and published by . This book was released on 2000 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 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 204 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.

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.

Download or read book Emerging Market Spreads Then Versus Now written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The International Monetary Fund (IMF) presents the full text of an article entitled "Emerging Market Spreads: Then Versus Now," by Paolo Mauro, Nathan Sussman, and Yishay Yafeh and published November 2000. The article discusses yield spreads on sovereign debt issued by emerging markets using data from the 1990s on debt traded in London during 1870-1913. Results show that today's investors pay less attention to country-specific events than their predecessors did in 1870-1913.

Download or read book Uncovering Country Risk in Emerging Market Bond Prices written by Erik Durbin and published by . This book was released on 1999 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Non Default Component of Sovereign Emerging Market Yield Spreads and Its Determinants written by Uğur N. Küçük and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, I show that a sizable component of emerging market sovereign yield spreads is due to factors other than default risk such as liquidity. I estimate the non-default component of the yield spreads as the basis between the actual credit default swap (CDS) premium and the hypothetical CDS premium implied by emerging market bond yields. On average, the basis is large and positive for speculative grade bonds and slightly negative for investment grade bonds. This large positive basis for speculative grade bonds support the existence of speculation in the CDS market when the underlying's credit quality is bad. I study the effects of bond liquidity, liquidity in the CDS market, equity market performance and macroeconomic variables on the non-default component of the emerging market yield spreads. I show that bond liquidity has a significant and positive effect on the CDS-bond basis of investment grade bonds. The results suggest that the liquid bonds of investment grade bonds are more expensive relative to the prices implied their CDS premiums. However, the results are somewhat mixed and even contrary for the speculative grade bond sample.

Download or read book Impact of Multiple Ratings on the Yield Spread of Bonds Emerging Markets Vs Developed Markets written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We argue that bond issuances have different explanatory factors in emerging market than developed market. This effect can be due to different market landscape, for example, different investor composition (sectoral and geographical) and investors' requirement. We find that significance in regression for developed market doesn't repeat in emerging market. Issuances in emerging market have significantly less institutional investors and more foreign investors. More institutional investors or less foreign investors leads to lower yield, mitigates the effect of the number of ratings to yield spread, and also comes with higher significance.

Download or read book International Sovereign Bonds by Emerging Markets and Developing Economies written by Andrea Presbitero and published by International Monetary Fund. This book was released on 2015-12-24 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: What determines the ability of low-income developing countries to issue bonds in international capital and what explains the spreads on these bonds? This paper examines these questions using a dataset that includes emerging markets and developing economies (EMDEs) that issued sovereign bonds at least once during the period 1995-2013 as well as those that did not. We find that an EMDE is more likely to issue a bond when, in comparison with non-issuing peers, it is larger in economic size, has higher per capita GDP, and has stronger macroeconomic fundamentals and government. Spreads on sovereign bonds are lower for countries with strong external and fiscal positions, as well as robust economic growth and government effectiveness. With regard to global factors, the results show that sovereign bond spreads are reduced in periods of lower market volatility.

Download or read book Global Factors and Emerging Market Spreads written by Martín González Rozada and published by . This book was released on 2006 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper shows that a large fraction of the variability of emerging market bond spreads is explained by the evolution of global factors such as risk appetite (as reflected in the spread of high yield corporate bonds in developed markets), global liquidity (measured by the international interest rates) and contagion (from systemic events like the Russian default). This link has remained relatively stable over the history of the emerging market class, is robust to the inclusion of country-specific factors, and helps provide accurate long-run predictions. Overall, the results highlight the critical role played by exogenous factors in the evolution of the borrowing cost faced by emerging economies.