Download or read book Emerging Markets Inflation Linked Bonds written by Laurens Swinkels and published by . This book was released on 2016 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the added value of inflation-linked bonds in an investment portfolio. Recently, several studies questioned the added value of inflation-linked bonds based on empirical analyses on developed markets. We extend the cross-section of countries with a set of nine emerging markets and conclude that for many of these countries the inclusion of inflation-linked bonds improves the risk-return characteristics of investment portfolios. We also document that inflation-linked bond returns correlate more with realized inflation than nominal bonds, even on the short run. Hence, investors that invest in nominal bonds and equities should also allocate a significant amount to inflation-linked bonds. Furthermore, our mean-variance spanning tests indicate that US investors that already invest in emerging markets nominal bonds and emerging markets equities benefit from adding emerging markets inflation-linked bonds to their investment portfolio.
Download or read book Emerging Market Inflation Linked Bonds written by Frank Benham and published by . This book was released on 2013 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investors have increasingly allocated assets to emerging markets in the past decade. This primarily took the form of investment in the sovereign debt of, and stocks based in, these countries. As these markets have evolved, sub-components have emerged as viable investment options. This includes a universe of inflation-linked bonds issued by emerging market governments. Because of the real yields they offer and the potential for higher inflation in some emerging market countries, these bonds may be particularly appealing to U.S. investors who are looking for relatively high yields and less sensitivity to U.S. interest rates, and protection from inflation and currency risks in emerging markets.
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.
Download or read book Handbook of Inflation Indexed Bonds written by John Brynjolfsson and published by John Wiley & Sons. This book was released on 1999-02-15 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Inflation Indexed Bonds provides complete coverage of inflation protection bonds beginning with their first U.S. issuance in 1997. Five, in-depth sections detail: strategic asset allocation; mechanics, valuation, and risk monitoring; global environment; issuers; and investors.
Download or read book Pricing Growth Indexed Bonds written by Marcos Chamon and published by INTERNATIONAL MONETARY FUND. This book was released on 2005-11-01 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Growth-indexed bonds have been suggested as a way of reducing the procyclicality of emerging-market countries' fiscal policies and the likelihood of costly debt crises. Investor attitude surveys suggest that pricing difficulties are seen as a considerable obstacle. In an effort to reduce such concerns, this article presents a simple way of pricing growth-indexed bonds. As a pleasant by-product, the analysis tracks the quantitative implications of an increase in the share of growth-indexed bonds in total debt, measuring the ensuing decline in the probability of default and the reduction in the spreads at which standard bonds can be issued.
Download or read book The Rationale and Design of Inflation Indexed Bonds written by Mr.Robert T. Price and published by International Monetary Fund. This book was released on 1997-01-01 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt: A number of industrialized countries have recently offered inflation-indexed bonds. Some members of another group of countries that had earlier adopted more comprehensive indexation in response to high inflation have taken steps to reduce the scope of indexation in their economies. This paper surveys debt management, monetary policy, and welfare arguments on the use of inflation-indexed bonds, and relates these to the experiences of various issuers. The paper also considers some important design features of indexed bonds.
Download or read book Inflation in Emerging and Developing Economies written by Jongrim Ha and published by World Bank Publications. This book was released on 2019-02-24 with total page 513 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the first comprehensive study in the context of EMDEs that covers, in one consistent framework, the evolution and global and domestic drivers of inflation, the role of expectations, exchange rate pass-through and policy implications. In addition, the report analyzes inflation and monetary policy related challenges in LICs. The report documents three major findings: In First, EMDE disinflation over the past four decades was to a significant degree a result of favorable external developments, pointing to the risk of rising EMDE inflation if global inflation were to increase. In particular, the decline in EMDE inflation has been supported by broad-based global disinflation amid rapid international trade and financial integration and the disruption caused by the global financial crisis. While domestic factors continue to be the main drivers of short-term movements in EMDE inflation, the role of global factors has risen by one-half between the 1970s and the 2000s. On average, global shocks, especially oil price swings and global demand shocks have accounted for more than one-quarter of domestic inflation variatio--and more in countries with stronger global linkages and greater reliance on commodity imports. In LICs, global food and energy price shocks accounted for another 12 percent of core inflation variatio--half more than in advanced economies and one-fifth more than in non-LIC EMDEs. Second, inflation expectations continue to be less well-anchored in EMDEs than in advanced economies, although a move to inflation targeting and better fiscal frameworks has helped strengthen monetary policy credibility. Lower monetary policy credibility and exchange rate flexibility have also been associated with higher pass-through of exchange rate shocks into domestic inflation in the event of global shocks, which have accounted for half of EMDE exchange rate variation. Third, in part because of poorly anchored inflation expectations, the transmission of global commodity price shocks to domestic LIC inflation (combined with unintended consequences of other government policies) can have material implications for poverty: the global food price spikes in 2010-11 tipped roughly 8 million people into poverty.
Download or read book Reviving the Case for GDP Indexed Bonds written by Mr.Eduardo Borensztein and published by International Monetary Fund. This book was released on 2002-09-01 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper seeks to revive the case for countries to self-insure against economic growth slowdowns by issuing GDP-indexed bonds. We simulate the effects of GDP-indexed bonds under different assumptions about fiscal policy reaction functions and their output effects and find that they could substantially reduce the likelihood that debt/GDP paths become explosive. The insurance premium would likely be small, because cross-country comovement of GDP growth rates is low and cross-country GDP growth risk is thus largely diversifiable for an investor holding a portfolio of GDP-indexed bonds. Potential obstacles to the emergence of a market for these bonds include the verifiability of GDP data, the trade-off between insurance and moral hazard, and the need for liquidity. The paper discusses institutional fixes and suggests an approach to attempting to start up a market.
Download or read book Bond Yields in Emerging Economies written by Laura Jaramillo and published by International Monetary Fund. This book was released on 2012-08-01 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: While many studies have looked into the determinants of yields on externally issued sovereign bonds of emerging economies, analysis of domestically issued bonds has hitherto been limited, despite their growing relevance. This paper finds that the extent to which fiscal variables affect domestic bond yields in emerging economies depends on the level of global risk aversion. During tranquil times in global markets, fiscal variables do not seem to be a significant determinant of domestic bond yields in emerging economies. However, when market participants are on edge, they pay greater attention to country-specific fiscal fundamentals, revealing greater alertness about default risk.
Download or read book Puttable and Extendible Bonds written by Salih N. Neftci and published by International Monetary Fund. This book was released on 2003-10-01 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the price stabilizing properties of puttable and extendible bonds, their potential to help develop interest-rate derivative markets, and their use by governments. Their stabilizing properties imply that, when bond prices fall, prices for puttable and extendible bonds fall by less. Their embedded options work as a cushion and replicate the trading gains from hedging long-term bonds with interest rate derivatives. These bonds can help develop interest-rate derivative markets in developing countries and eventually increase demand for long-term government bonds. Informal evidence from OECD countries suggests that these bonds were useful in the 1980s, when interest rates were volatile.
Download or read book Inflation linked Bonds from a Central Bank Perspective written by Juan Ángel García and published by . This book was released on 2007 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation-linked bond markets have experienced significant growth in recent years. This growth is somewhat surprising, for inflation-linked bonds cannot be considered a financial innovation and their development has taken place in a period of historically low global inflation and inflation expectations. In this context, the purpose of this paper is two fold. First, it provides a selective survey of the key arguments for and against the issuance of inflation-linked debt, and some of the factors that help to understand their recent growth. Second, it illustrates the use of these instruments to better monitor investors' inflation expectations and growth prospects from a central bank perspective.
Download or read book Inflation indexed Securities written by Mark Deacon and published by John Wiley & Sons. This book was released on 2004-04-21 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global market for inflation-indexed securities has ballooned in recent years, and this trend is set to continue. This book examines the rationale behind issuance and investment decisions, and details the issues facing anyone who designs indexed securities, illustrating them wherever possible with actual examples from the international capital markets. In particular, an extensive review of indexed debt markets throughout the world is provided - including for the first time, a comprehensive and consistent set of cash flow and price-yield equations for the instruments already in existence in the major bond markets - forming an important reference for those already experienced in the field, as well as practitioners and academics approaching the subject for the first time. The book also provides unique insight into the development of inflation-indexed derivative products, and the analytical tools required to value such instruments.
Download or read book Emerging Bond Markets written by Tamara Teplova and published by Routledge. This book was released on 2020-10-25 with total page 351 pages. Available in PDF, EPUB and Kindle. Book excerpt: The bond market is a key securities market and emerging economies present exciting, new investment opportunities. This timely book provides insights into these emerging bond markets through empirical models and analytical databases, i.e. Bloomberg, Eikon Refinitiv and the Russian Cbonds. The book looks at the dynamics of the development of emerging bond markets, their competitiveness, features and patterns using macro and micro level data. It also takes into consideration various securities type i.e. government, corporate, sub-federal and municipal bonds, to identify respective challenges and risks. The book also analyses factors that may inhibit or stimulate a well-balanced financial market. It includes case studies of Asian, Latin American and Russian bond markets, as also as cross-country comparisons. It will be a useful reference for anyone who is interested to learn more of the bond market and the modelling techniques for critical data analysis.
Download or read book Treasury Inflation Protected Securities TIPS as an Asset Class Implicatons for Asset Allocation written by Alexander Hardt and published by GRIN Verlag. This book was released on 2014-07-15 with total page 71 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bachelor Thesis from the year 2014 in the subject Business economics - Investment and Finance, grade: 1,0, Texas A&M University (Texas A&M University-Commerce), language: English, abstract: This thesis examines optimized portfolios of three investor types during four different time intervals ranging from 1998 to 2013 to determine if the inclusion of Treasury Inflation-Protected Securities (TIPS) has benefits for institutional investors such as pension plans, university endowments, foundations and sovereign wealth funds. The three investor types used in this study differ in their risk tolerance, with the more risk-averse investor type choosing not to include certain asset classes in his investment portfolio. The efficient frontier algorithm, developed by Prof. Harry Markowitz, is used to determine whether the inclusion of TIPS improves the risk/return profile of the portfolio. Sharpe ratio, developed by Prof. William Sharpe, is used to measure a portfolio’s risk adjusted performance. The study found that the benefits of the inclusion of TIPS in a portfolio vary by time period and investor type. While all investors were able to improve their risk return profile, the more risk-averse investor type benefits to a larger degree from the inclusion of TIPS. Furthermore, a significant increase in the financial efficiency was only observed in the 1998 to 2002 period. Therefore, the researcher concludes that the TIPS market is quite dynamic and investors need to take into account forward-looking information to profit from the inclusion of TIPS in investment portfolios.
Download or read book The Handbook of European Fixed Income Securities written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2004-02-03 with total page 1026 pages. Available in PDF, EPUB and Kindle. Book excerpt: A well-rounded guide for those interested in European financial markets With the advent of the euro and formation of the European Union, financial markets on this continent are slowly beginning to gain momentum. Individuals searching for information on these markets have come up empty-until now. The Handbook of European Fixed Income Markets is the first book written on this burgeoning market. It contains extensive, in-depth coverage of every aspect of the current European fixed income markets and their derivatives. This comprehensive resource includes both a qualitative approach to products, conventions, and institutions as well as quantitative coverage of valuation and analysis of each instrument. The Handbook of European Fixed Income Markets introduces readers to developed markets such as the U.K., France, Germany, Italy, Spain, and Holland, as well as emerging markets in Eastern Europe. Government and corporate bond market instruments and institutions are also discussed. U.S.-based investors, researchers, and academics as well as students and financial professionals in other parts of the world will all turn to this book for complete and accurate information on European financial instruments and markets. Frank J. Fabozzi (New Hope, PA) is a financial consultant, the Editor of the Journal of Portfolio Management, and Adjunct Professor of Finance at Yale University's School of Management. Moorad Choudhry (Surrey, UK) is a Vice President with JPMorgan Chase structured finances services in London.
Download or read book Inflation indexed Securities written by Mark Deacon and published by Wiley. This book was released on 2004-04-21 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global market for inflation-indexed securities has ballooned in recent years, and this trend is set to continue. This book examines the rationale behind issuance and investment decisions, and details the issues facing anyone who designs indexed securities, illustrating them wherever possible with actual examples from the international capital markets. In particular, an extensive review of indexed debt markets throughout the world is provided - including for the first time, a comprehensive and consistent set of cash flow and price-yield equations for the instruments already in existence in the major bond markets - forming an important reference for those already experienced in the field, as well as practitioners and academics approaching the subject for the first time. The book also provides unique insight into the development of inflation-indexed derivative products, and the analytical tools required to value such instruments.
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.
