Is It Still Mostly Fiscal Determinants Of Sovereign Spreads In Emerging Markets

Is It Still Mostly Fiscal Determinants Of Sovereign Spreads In Emerging Markets Book in PDF, ePub and Kindle version is available to download in english. Read online anytime anywhere directly from your device. Click on the download button below to get a free pdf file of Is It Still Mostly Fiscal Determinants Of Sovereign Spreads In Emerging Markets book. This book definitely worth reading, it is an incredibly well-written.

Is it (Still) Mostly Fiscal? Determinants of Sovereign Spreads in Emerging Markets

Mr.Amine Mati,Mr.Emanuele Baldacci,Mr.Sanjeev Gupta
Is it Still Mostly Fiscal Determinants of Sovereign Spreads in Emerging Markets Book PDF

Author : Mr.Amine Mati,Mr.Emanuele Baldacci,Mr.Sanjeev Gupta
Publisher : International Monetary Fund
Page : 25 pages
File Size : 45,6 Mb
Release : 2008-11-01
Category : Business & Economics
ISBN : 9781451871173

Get Book

Is it (Still) Mostly Fiscal? Determinants of Sovereign Spreads in Emerging Markets by Mr.Amine Mati,Mr.Emanuele Baldacci,Mr.Sanjeev Gupta Pdf

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.

Determinants of Sovereign Bond Spreads in Emerging Markets

Mr.Balazs Csonto,Mr.Iryna V. Ivaschenko
Determinants of Sovereign Bond Spreads in Emerging Markets Book PDF

Author : Mr.Balazs Csonto,Mr.Iryna V. Ivaschenko
Publisher : International Monetary Fund
Page : 42 pages
File Size : 45,6 Mb
Release : 2013-07-10
Category : Business & Economics
ISBN : 9781484361481

Get Book

Determinants of Sovereign Bond Spreads in Emerging Markets by Mr.Balazs Csonto,Mr.Iryna V. Ivaschenko Pdf

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.

Determinants of Emerging Market Sovereign Bond Spreads

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

Author : Iva Petrova,Mr.Michael G Papaioannou,Mr.Dimitri Bellas
Publisher : International Monetary Fund
Page : 27 pages
File Size : 40,7 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.

Sovereign Credit Ratings and Spreads in Emerging Markets

Laura Jaramillo,Ms.Michelle Michelle Tejada
Sovereign Credit Ratings and Spreads in Emerging Markets Book PDF

Author : Laura Jaramillo,Ms.Michelle Michelle Tejada
Publisher : International Monetary Fund
Page : 19 pages
File Size : 45,9 Mb
Release : 2011-03-01
Category : Business & Economics
ISBN : 9781455218981

Get Book

Sovereign Credit Ratings and Spreads in Emerging Markets by Laura Jaramillo,Ms.Michelle Michelle Tejada Pdf

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.

International Sovereign Bonds by Emerging Markets and Developing Economies

Andrea Presbitero,Mr.Dhaneshwar Ghura,Mr.Olumuyiwa Adedeji,Lamin Njie
International Sovereign Bonds by Emerging Markets and Developing Economies Book PDF

Author : Andrea Presbitero,Mr.Dhaneshwar Ghura,Mr.Olumuyiwa Adedeji,Lamin Njie
Publisher : International Monetary Fund
Page : 27 pages
File Size : 41,8 Mb
Release : 2015-12-24
Category : Business & Economics
ISBN : 9781513564135

Get Book

International Sovereign Bonds by Emerging Markets and Developing Economies by Andrea Presbitero,Mr.Dhaneshwar Ghura,Mr.Olumuyiwa Adedeji,Lamin Njie Pdf

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.

The Rewards of Fiscal Consolidation: Sovereign Spreads and Confidence Effects

Mr.Antonio David,Mr.Jaime Guajardo,Juan Yepez
The Rewards of Fiscal Consolidation Sovereign Spreads and Confidence Effects Book PDF

Author : Mr.Antonio David,Mr.Jaime Guajardo,Juan Yepez
Publisher : International Monetary Fund
Page : 28 pages
File Size : 44,5 Mb
Release : 2019-07-02
Category : Political Science
ISBN : 9781498325585

Get Book

The Rewards of Fiscal Consolidation: Sovereign Spreads and Confidence Effects by Mr.Antonio David,Mr.Jaime Guajardo,Juan Yepez Pdf

This paper investigates the effects of fiscal consolidation announcements on sovereign spreads in a panel of 21 emerging market economies during 2000-18. We construct a novel dataset using a global news database to identify the precise announcement date of fiscal consolidation actions. Our results show that sovereign spreads decline significantly following news that austerity measures have been approved by the legislature (congress or parliament), in periods of high sovereign spreads or in countries under an IMF program. In addition, consolidation announcements are less contractionary when sovereign spreads decline, with the reduction in output being half of the counterfactual case in which spreads do not respond to announcements. These results constitute direct evidence that confidence effects, in the form of lower sovereign spreads, are an important transmission channel of fiscal shocks. We also find that the role of confidence effects increases with the level of spreads such that countries with high spread levels stand to benefit the most from putting in place credible austerity packages.

Emerging Market Bond Spreads and Sovereign Credit Ratings

Mr.Amadou N. R. Sy
Emerging Market Bond Spreads and Sovereign Credit Ratings Book PDF

Author : Mr.Amadou N. R. Sy
Publisher : INTERNATIONAL MONETARY FUND
Page : 0 pages
File Size : 44,6 Mb
Release : 2001-10-01
Category : Business & Economics
ISBN : 1451858051

Get Book

Emerging Market Bond Spreads and Sovereign Credit Ratings by Mr.Amadou N. R. Sy Pdf

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.

Handbook of Empirical Research on Islam and Economic Life

M. Kabir Hassan
Handbook of Empirical Research on Islam and Economic Life Book PDF

Author : M. Kabir Hassan
Publisher : Edward Elgar Publishing
Page : 736 pages
File Size : 46,5 Mb
Release : 2016-12-30
Category : Business & Economics
ISBN : 9781784710736

Get Book

Handbook of Empirical Research on Islam and Economic Life by M. Kabir Hassan Pdf

In Islamic jurisprudence, a comprehensive ethic has been formulated governing how business and commerce should be run, how accountability to God and the community is to be achieved, and how banking and finance is to be arranged. This Handbook examines how well these values are translated into actual performance. It explores whether those holding true to the system are hindered and put at a disadvantage or whether the Islamic institutions have been able to demonstrate that faith-based activities can be rewarding, both economically and spiritually.

Spatial Spillovers in Emerging Market Spreads

Mr.Emanuele Baldacci,Mr.Salvatore Dell'Erba,Mr.Tigran Poghosyan
Spatial Spillovers in Emerging Market Spreads Book PDF

Author : Mr.Emanuele Baldacci,Mr.Salvatore Dell'Erba,Mr.Tigran Poghosyan
Publisher : International Monetary Fund
Page : 30 pages
File Size : 42,7 Mb
Release : 2011-09-01
Category : Business & Economics
ISBN : 9781463904234

Get Book

Spatial Spillovers in Emerging Market Spreads by Mr.Emanuele Baldacci,Mr.Salvatore Dell'Erba,Mr.Tigran Poghosyan Pdf

We use novel spatial econometrics techniques to explore spillovers in the sovereign bond market for 24 emerging economies during 1995-2010. The paper extends the previous literature focusing on spillover effects from advanced to emerging economies by analyzing transmission of shocks across emerging markets. After controlling for the impact of global factors, we find strong evidence of spillovers from both sovereign spreads and macroeconomic fundamentals in neighboring emerging economies. In addition to the geographical proximity, the channels of spatial transmission include trade and financial linkages. The results of the paper highlight the importance of accounting not only for spillovers from advanced economies to emerging markets, but also across emerging markets when analyzing sovereign spreads.

Gabon

International Monetary Fund. African Dept.
Gabon Book PDF

Author : International Monetary Fund. African Dept.
Publisher : International Monetary Fund
Page : 48 pages
File Size : 49,7 Mb
Release : 2024-05-31
Category : Business & Economics
ISBN : 9798400277900

Get Book

Gabon by International Monetary Fund. African Dept. Pdf

Gabon: Selected Issues

Sovereign Debt and the Financial Crisis

Carlos A. Primo Braga,Gallina A. Vincelette
Sovereign Debt and the Financial Crisis Book PDF

Author : Carlos A. Primo Braga,Gallina A. Vincelette
Publisher : World Bank Publications
Page : 524 pages
File Size : 40,6 Mb
Release : 2010-11-16
Category : Business & Economics
ISBN : 0821385437

Get Book

Sovereign Debt and the Financial Crisis by Carlos A. Primo Braga,Gallina A. Vincelette Pdf

The book presents and discusses policy-relevant research on the current debt challenges which developing, emerging market and developed countries face. Its value added lies in the integrated approach of drawing on theoretical research and evidence from practitioners' experience in developing and emerging market countries.

Sovereign Spreads and Contagion Risks in Asia

Ms.Filiz Unsal,Carlos Caceres
Sovereign Spreads and Contagion Risks in Asia Book PDF

Author : Ms.Filiz Unsal,Carlos Caceres
Publisher : International Monetary Fund
Page : 27 pages
File Size : 44,8 Mb
Release : 2011-06-01
Category : Business & Economics
ISBN : 9781455259397

Get Book

Sovereign Spreads and Contagion Risks in Asia by Ms.Filiz Unsal,Carlos Caceres Pdf

This paper explores how much of the movements in the sovereign spreads of Asian economies over the course of the global financial crisis has reflected shifts in (i) global risk aversion; (ii) country-specific risks, directly from worsening fundamentals, and indirectly from spillovers originating in other sovereigns and the uncertainty surrounding exchange rates. Earlier in the crisis, the increase in market-implied contagion led to higher Asian sovereign bond yield spreads over swaps. But, after the crisis, Asia’s sovereign spreads normalized, despite the debt crisis in the euro area, reflecting a fall in both exchange rate and spillover risks.

Ukraine

International Monetary Fund. European Dept.
Ukraine Book PDF

Author : International Monetary Fund. European Dept.
Publisher : International Monetary Fund
Page : 133 pages
File Size : 53,5 Mb
Release : 2014-06-11
Category : Business & Economics
ISBN : 9781498351027

Get Book

Ukraine by International Monetary Fund. European Dept. Pdf

This paper discusses Ukraine’s 2013 Article IV Consultation and First Post-Program Monitoring. The Ukrainian economy has been in recession since mid-2012, and the outlook remains challenging. In January–September 2013, GDP contracted by 11⁄4 percent year-over-year, reflecting lower demand for Ukrainian exports and falling investments. Consumer prices stayed flat, held down by decreasing food prices and tight monetary policy. The fiscal stance loosened in 2012–2013, contributing to the buildup of vulnerabilities. Ukraine remains current on all its payments to the IMF, and the authorities have reaffirmed their commitment to repay all outstanding IMF credit.

OECD Economic Surveys: Turkey 2010

OECD
OECD Economic Surveys Turkey 2010 Book PDF

Author : OECD
Publisher : OECD Publishing
Page : 144 pages
File Size : 54,9 Mb
Release : 2010-09-15
Category : Electronic
ISBN : 9789264083059

Get Book

OECD Economic Surveys: Turkey 2010 by OECD Pdf

This 2010 edition of OECD's periodical review of Turkey's economy examines sustaining the post-crisis recovery and mitigating future macroeconomic volatility, fostering sound integration with the global capital market, and regulatory reforms to unlock long-term growth.

The Impact of Debt Sustainability and the Level of Debt on Emerging Markets Spreads

Nazim Belhocine,Mr.Salvatore Dell'Erba
The Impact of Debt Sustainability and the Level of Debt on Emerging Markets Spreads Book PDF

Author : Nazim Belhocine,Mr.Salvatore Dell'Erba
Publisher : International Monetary Fund
Page : 31 pages
File Size : 41,7 Mb
Release : 2013-05-01
Category : Business & Economics
ISBN : 9781484335888

Get Book

The Impact of Debt Sustainability and the Level of Debt on Emerging Markets Spreads by Nazim Belhocine,Mr.Salvatore Dell'Erba Pdf

How do financial markets respond to concerns over debt sustainability and the level of public debt in emerging markets? We introduce a measure of debt sustainability – the difference between the debt stabilizing primary balance and the primary balance–in an otherwise standard spread regression model applied to a panel of 26 emerging market economies. We find that debt sustainability is an important determinant of spreads. In addition, using a panel smooth transition regression model, we find that the sensitivity of spreads to debt sustainability doubles as public debt increases above 45 percent of GDP. These results suggest that market interest rates react more to debt sustainability concerns in a country with a high level of debt compared to a country with a low level of debt.