Correlations In Emerging Market Bonds

Author : Mr.A. Javier Hamann,Irina Bunda,Mr.Subir Lall
Publisher : International Monetary Fund
Page : 28 pages
File Size : 47,7 Mb
Release : 2010-01-01
Category : Business & Economics
ISBN : 9781451961775

Get Book

Correlations in Emerging Market Bonds by Mr.A. Javier Hamann,Irina Bunda,Mr.Subir Lall Pdf

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.

Author : Mr.Itai Agur,Melissa Chan,Mr.Mangal Goswami,Mr.Sunil Sharma
Publisher : International Monetary Fund
Page : 56 pages
File Size : 48,5 Mb
Release : 2018-01-25
Category : Business & Economics
ISBN : 9781484339220

Get Book

On International Integration of Emerging Sovereign Bond Markets by Mr.Itai Agur,Melissa Chan,Mr.Mangal Goswami,Mr.Sunil Sharma Pdf

The paper investigates the international integration of EM sovereign dollar-denominated and local-currency bond markets. Factor analysis is used to examine movements in sovereign bond yields and common sources of yield variation. The results suggest that EM dollar-denominated sovereign debt markets are highly integrated; a single common factor that is highly correlated with US and EU interest rates explains, on average, about 80 percent of the total variability in yields. EM sovereign local currency bond markets are not as internationally integrated, and three common factors explain about 74 percent of the total variability. But a factor highly correlated with US and EU interest rates still explains 63 percent of the yield variation accounted for by common factors. That said, there is some diversity among EM countries in the importance of common factors in affecting sovereign debt yields.

Author : Mr.Christian Ebeke,Yinqiu Lu
Publisher : International Monetary Fund
Page : 38 pages
File Size : 42,9 Mb
Release : 2014-02-12
Category : Business & Economics
ISBN : 9781475559286

Get Book

Emerging Market Local Currency Bond Yields and Foreign Holdings in the Post-Lehman Period - a Fortune or Misfortune? by Mr.Christian Ebeke,Yinqiu Lu Pdf

The paper shows that foreign holdings of local currency government bonds in emerging market countries (EMs) have reduced bond yields but have somewhat increased yield volatility in the post-Lehman period. Econometric analyses conducted from a sample of 12 EMs demonstrate that these results are robust and causal. We use an identification strategy exploiting the geography-based measure of EMs financial remoteness vis-à-vis major offshore financial centers as an instrumental variable for the foreign holdings variable.The results also show that, in countries with weak fiscal and external positions, foreign holdings are greatly associated with increased yield volatility. A case study using Poland data elaborates on the cross country findings.

Author : Mr.Serkan Arslanalp,Mr.Takahiro Tsuda
Publisher : International Monetary Fund
Page : 25 pages
File Size : 47,7 Mb
Release : 2015-12-17
Category : Business & Economics
ISBN : 9781513559223

Get Book

Emerging Market Portfolio Flows by Mr.Serkan Arslanalp,Mr.Takahiro Tsuda Pdf

Portfolio flows to emerging markets (EMs) tend to be correlated. A possible explanation is the role global benchmarks play in allocating capital internationally, the so-called “benchmark effect.” This paper finds that benchmark-driven investors indeed play a large role in a key segment of the market—the EM local currency government bond market—, accounting for more than one third of total foreign holdings as of end-2014. We find that the prominence of these investors declined somewhat after the May 2013 taper tantrum, but remain high. This distinction is important in understanding the drivers of EM capital flows and their sensitivity to different types of shocks. In particular, a high share of benchmark-driven investors may result in capital flows that are more sensitive to global shocks and less sensitive to country factors.

Author : Iva Petrova,Mr.Michael G Papaioannou,Mr.Dimitri Bellas
Publisher : International Monetary Fund
Page : 27 pages
File Size : 47,6 Mb
Release : 2010-12-01
Category : Business & Economics
ISBN : 9781455210886

Get Book

Determinants of Emerging Market Sovereign Bond Spreads by Iva Petrova,Mr.Michael G Papaioannou,Mr.Dimitri Bellas Pdf

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.

Author : Jochen R. Andritzky,Geoffrey J. Bannister,Natalia T. Tamirisa
Publisher : INTERNATIONAL MONETARY FUND
Page : 31 pages
File Size : 54,6 Mb
Release : 2005-04-01
Category : Electronic
ISBN : 1451861028

Get Book

The Impact of Macroeconomic Announcements on Emerging Market Bonds by Jochen R. Andritzky,Geoffrey J. Bannister,Natalia T. Tamirisa Pdf

This paper examines how emerging bond markets react to macroeconomic announcements. Global bond spreads respond to rating actions and changes in global interest rates rather than domestic data and policy announcements. All announcements affect market volatility. Data and policy announcements reduce uncertainty and stabilize the trading environment, while rating actions cause greater volatility. Results are broadly robust to country-specific and panel analyses, assuming conditional variance and controlling for the surprise content of news. In subsamples, announcements are found to matter less for countries with more transparent policies and higher credit ratings. In a crisis, rating actions become less important, and investors focus more on simple and timely indicators, like CPI.

Author : Paolo Mauro,Nathan Sussman,Yishay Yafeh
Publisher : Oxford University Press, USA
Page : 216 pages
File Size : 42,6 Mb
Release : 2006-03-16
Category : Business & Economics
ISBN : STANFORD:36105114429553

Get Book

Emerging Markets and Financial Globalization by Paolo Mauro,Nathan Sussman,Yishay Yafeh Pdf

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.

Author : International Monetary Fund
Publisher : International Monetary Fund
Page : 236 pages
File Size : 50,8 Mb
Release : 2000-09-11
Category : Business & Economics
ISBN : 1557759499

Get Book

International Capital Markets by International Monetary Fund Pdf

Following a review and assesment of recent developments in capital market and banking systems, this year's International Capital Markets report review and assesses recent developments in mature and emerging financial markets and continues the analysis of key issues affecting global financial markets. It examines the systemic implications of the continued rapid development of the global over-the-counter derivatives markets and the expansion of foreign-owned banks into emerging markets. The report also analyzes market participants assessments of the proposals for private sector involvement in the prevention and resolution of crises.

Author : Erçetin, ?efika ?ule
Publisher : IGI Global
Page : 458 pages
File Size : 48,7 Mb
Release : 2016-04-21
Category : Mathematics
ISBN : 9781522501497

Get Book

Handbook of Research on Chaos and Complexity Theory in the Social Sciences by Erçetin, ?efika ?ule Pdf

The concept of “chaos”, and chaos theory, though it is a field of study specifically in the field of mathematics with applications in physics, engineering, economics, management, and education, has also recently taken root in the social sciences. As a method of analyzing the way in which the digital age has connected society more than ever, chaos and complexity theory serves as a tactic to tie world events and cope with the information overload that is associated with heightened social connectivity. The Handbook of Research on Chaos and Complexity Theory in the Social Sciences explores the theories of chaos and complexity as applied to a variety of disciplines including political science, organizational and management science, economics, and education. Presenting diverse research-based perspectives on mathematical patterns in the world system, this publication is an essential reference source for scholars, researchers, mathematicians, social theorists, and graduate-level students in a variety of disciplines.

Author : Larry E. Swedroe,Jared Kizer
Publisher : John Wiley and Sons
Page : 238 pages
File Size : 48,6 Mb
Release : 2010-05-13
Category : Business & Economics
ISBN : 9780470885338

Get Book

The Only Guide to Alternative Investments You'll Ever Need by Larry E. Swedroe,Jared Kizer Pdf

The rewards of carefully chosen alternative investments can be great. But many investors don’t know enough about unfamiliar investments to make wise choices. For that reason, financial advisers Larry Swedroe and Jared Kizer designed this book to bring investors up to speed on the twenty most popular alternative investments: Real estate, Inflation-protected securities, Commodities, International equities, Fixed annuities, Stable-value funds, High-yield (junk) bonds, Private equity (venture capital), Covered calls, Socially responsible mutual funds, Precious metals equities, Preferred stocks, Convertible bonds, Emerging market bonds, Hedge funds, Leveraged buyouts, Variable annuities, Equity-indexed annuities, Structured investment products, Leveraged funds The authors describe how the investments work, the pros and cons of each, which to consider, which to avoid, and how to get started. Swedroe and Kizer evaluate each investment in terms of: Expected returns Volatility Distribution of returns Diversification potential Fees Trading and operating expenses Liquidity Tax efficiency Account location Role in an asset-allocation program Any investor who is considering or just curious about investment opportunities outside the traditional world of stocks, bonds, and bank certificates of deposit would be well-advised to read this book.

Author : Valentin Ulrici
Publisher : Josef Eul Verlag GmbH
Page : 246 pages
File Size : 55,9 Mb
Release : 2007
Category : Bond market
ISBN : 9783899366402

Get Book

Bond Valuation in Emerging Markets by Valentin Ulrici Pdf

Author : Barbara S. Petitt
Publisher : John Wiley & Sons
Page : 1122 pages
File Size : 49,6 Mb
Release : 2019-10-17
Category : Business & Economics
ISBN : 9781119628132

Get Book

Fixed Income Analysis by Barbara S. Petitt Pdf

CFA Institute's essential guide to fixed-income portfolio management, revised and updated Now in its fourth edition, Fixed Income Analysis offers authoritative and up-to-date coverage of how successful investment professionals analyze and manage fixed-income portfolios. With contributions from a team of financial experts, the text is filled with detailed information from CFA Institute and contains a comprehensive review of the essential topics in the field. Fixed Income Analysis introduces the fundamental concepts of fixed-income securities and markets and provides in-depth coverage of fixed-income security valuation and portfolio management. The book contains a general framework for valuation that is designed to be accessible to both professionals and those new to the field. The fourth edition provides updated coverage of fixed-income portfolio management including detailed coverage of liability-driven and index-based strategies, the major types of yield curve strategies, and approaches to implementing active credit strategies. The authors include examples that help build the knowledge and skills needed to effectively manage fixed-income portfolios. Fixed Income Analysis gives a real-world understanding of how the concepts discussed are practically applied in client-based scenarios. Investment analysts, portfolio managers, individual and institutional investors and their advisors, and anyone with an interest in fixed-income markets will appreciate this accessible guide to fixed-income analysis.

Author : CFA Institute
Publisher : John Wiley & Sons
Page : 128 pages
File Size : 40,8 Mb
Release : 2019-08-08
Category : Business & Economics
ISBN : 9781119593676

Get Book

CFA Program Curriculum 2020 Level III, Volumes 1 - 6 by CFA Institute Pdf

Apply CFA Program concepts and skills to real-world wealth and portfolio management for the 2019 exam The same official curricula that CFA Program candidates receive with program registration is now publicly available for purchase. CFA Program Curriculum 2020 Level III, Volumes 1-6 provides complete, authoritative guidance on synthesizing the entire CFA Program Candidate Body of Knowledge (CBOK) into professional practice for the 2020 exam. This book helps you bring together the skills and concepts from Levels I and II to formulate a detailed, professional response to a variety of real-world scenarios. Coverage spans all CFA Program topics and provides a rigorous treatment of portfolio management, all organized into individual study sessions with clearly defined Learning Outcome Statements. Visual aids clarify complex concepts, and practice questions allow you to test your understanding while reinforcing major content areas. Levels I and II equipped you with foundational investment tools and complex analysis skill; now, you'll learn how to effectively synthesize that knowledge to facilitate effective portfolio management and wealth planning. This study set helps you convert your understanding into a professional body of knowledge that will benefit your clients' financial futures. Master essential portfolio management and compliance topics Synthesize your understanding into professional guidance Reinforce your grasp of complex analysis and valuation Apply ethical and professional standards in the context of real-world cases CFA Institute promotes the highest standards of ethics, education, and professional excellence among investment professionals. The CFA Program curriculum guides you through the breadth of knowledge required to uphold these standards. The three levels of the program build on each other. Level I provides foundational knowledge and teaches the use of investment tools; Level II focuses on application of concepts and analysis, particularly in the valuation of assets; and Level III builds toward synthesis across topics with an emphasis on portfolio management.

Author : CFA Institute
Publisher : John Wiley & Sons
Page : 1328 pages
File Size : 50,7 Mb
Release : 2020-11-11
Category : Business & Economics
ISBN : 9781119743712

Get Book

Portfolio Management in Practice, Volume 1 by CFA Institute Pdf

Portfolio Management in Practice, Volume 1: Investment Management delivers a comprehensive overview of investment management for students and industry professionals. As the first volume in the CFA Institute’s new Portfolio Management in Practice series, Investment Management offers professionals looking to enhance their skillsets and students building foundational knowledge an essential understanding of key investment management concepts. Designed to be an accessible resource for a wide range of learners, this volume explores the full portfolio management process. Inside, readers will find detailed coverage of: Forming capital market expectations Principles of the asset allocation process Determining investment strategies within each asset class Integrating considerations specific to high net worth individuals or institutions into chosen strategies And more To apply the concepts outlined in the Investment Management volume, explore the accompanying Portfolio Management in Practice, Volume 1: Investment Management Workbook. The perfect companion resource, this workbook aligns chapter-by-chapter with Investment Management for easy referencing so readers can draw connections between theoretical content and challenging practice problems. Featuring contributions from the CFA Institute’s subject matter experts, Portfolio Management in Practice, Volume 1: Investment Management distills the knowledge forward-thinking professionals will need to succeed in today’s fast-paced financial world.

Author : Larry E. Swedroe,Joseph H. Hempen
Publisher : Truman Talley Books
Page : 273 pages
File Size : 42,5 Mb
Release : 2007-04-01
Category : Education
ISBN : 9781429909396

Get Book

The Only Guide to a Winning Bond Strategy You'll Ever Need by Larry E. Swedroe,Joseph H. Hempen Pdf

Larry Swedroe, the author of The Only Guide to a Winning Investment Strategy You'll Ever Need, has collaborated with Joe H. Hempen to create an up-to-date book on how to invest in today's bond market that covers a range of issues pertinent to any bond investor today including: bond-speak, the risks of fixed income investing, mortgage-backed securities, and municipal bonds. The Only Guide to a Winning Bond Strategy You'll Ever Need is a no-nonsense handbook with all the information necessary to design and construct your fixed income portfolio. In this day and age of shaky stocks and economic unpredictability, The Only Guide to a Winning Bond Strategy You'll Ever Need is a crucial tool for any investor looking to safeguard their money.