Long Term Returns In Distressed Sovereign Bond Markets How Did Investors Fare

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Long-Term Returns in Distressed Sovereign Bond Markets: How Did Investors Fare?

Mr.Jochen R. Andritzky,Julian Schumacher
Long Term Returns in Distressed Sovereign Bond Markets How Did Investors Fare Book PDF

Author : Mr.Jochen R. Andritzky,Julian Schumacher
Publisher : International Monetary Fund
Page : 31 pages
File Size : 43,5 Mb
Release : 2019-07-01
Category : Political Science
ISBN : 9781498325462

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Long-Term Returns in Distressed Sovereign Bond Markets: How Did Investors Fare? by Mr.Jochen R. Andritzky,Julian Schumacher Pdf

Sovereign debt restructurings are perceived as inflicting large losses to bondholders. However, many bonds feature high coupons and often exhibit strong post-crisis recoveries. To account for these aspects, we analyze the long-term returns of sovereign bonds during 32 crises since 1998, taking into account losses from bond exchanges as well as profits before and after such events. We show that the average excess return over risk-free rates in crises with debt restructuring is not significantly lower than the return on bonds in crises without restructuring. Returns differ considerably depending on the investment strategy: Investors who sell during crises fare much worse than buy-and-hold investors or investors entering the market upon signs of distress

Long-Term Returns in Distressed Sovereign Bond Markets: How Did Investors Fare?

Mr.Jochen R. Andritzky,Julian Schumacher
Long Term Returns in Distressed Sovereign Bond Markets How Did Investors Fare Book PDF

Author : Mr.Jochen R. Andritzky,Julian Schumacher
Publisher : International Monetary Fund
Page : 31 pages
File Size : 43,6 Mb
Release : 2019-07-01
Category : Business & Economics
ISBN : 9781498317375

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Long-Term Returns in Distressed Sovereign Bond Markets: How Did Investors Fare? by Mr.Jochen R. Andritzky,Julian Schumacher Pdf

Sovereign debt restructurings are perceived as inflicting large losses to bondholders. However, many bonds feature high coupons and often exhibit strong post-crisis recoveries. To account for these aspects, we analyze the long-term returns of sovereign bonds during 32 crises since 1998, taking into account losses from bond exchanges as well as profits before and after such events. We show that the average excess return over risk-free rates in crises with debt restructuring is not significantly lower than the return on bonds in crises without restructuring. Returns differ considerably depending on the investment strategy: Investors who sell during crises fare much worse than buy-and-hold investors or investors entering the market upon signs of distress

A Primer on Managing Sovereign Debt-Portfolio Risks

Thordur Jonasson,Mr.Michael G. Papaioannou
A Primer on Managing Sovereign Debt Portfolio Risks Book PDF

Author : Thordur Jonasson,Mr.Michael G. Papaioannou
Publisher : International Monetary Fund
Page : 133 pages
File Size : 42,5 Mb
Release : 2018-04-06
Category : Business & Economics
ISBN : 9781484350546

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A Primer on Managing Sovereign Debt-Portfolio Risks by Thordur Jonasson,Mr.Michael G. Papaioannou Pdf

This paper provides an overview of sovereign debt portfolio risks and discusses various liability management operations (LMOs) and instruments used by public debt managers to mitigate these risks. Debt management strategies analyzed in the context of helping reach debt portfolio targets and attain desired portfolio structures. Also, the paper outlines how LMOs could be integrated into a debt management strategy and serve as policy tools to reduce potential debt portfolio vulnerabilities. Further, the paper presents operational issues faced by debt managers, including the need to develop a risk management framework, interactions of debt management with fiscal policy, monetary policy, and financial stability, as well as efficient government bond markets.

Costs of Sovereign Defaults: Restructuring Strategies, Bank Distress and the Capital Inflow-Credit Channel

Mr.Tamon Asonuma,Mr.Marcos d Chamon,Aitor Erce,Akira Sasahara
Costs of Sovereign Defaults Restructuring Strategies Bank Distress and the Capital Inflow Credit Channel Book PDF

Author : Mr.Tamon Asonuma,Mr.Marcos d Chamon,Aitor Erce,Akira Sasahara
Publisher : International Monetary Fund
Page : 91 pages
File Size : 43,9 Mb
Release : 2019-03-25
Category : Business & Economics
ISBN : 9781498303255

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Costs of Sovereign Defaults: Restructuring Strategies, Bank Distress and the Capital Inflow-Credit Channel by Mr.Tamon Asonuma,Mr.Marcos d Chamon,Aitor Erce,Akira Sasahara Pdf

Sovereign debt restructurings are associated with declines in GDP, investment, bank credit, and capital flows. The transmission channels and associated output and banking sector costs depend on whether the restructuring takes place preemptively, without missing payments to creditors, or whether it takes place after a default has occurred. Post-default restructurings are associated with larger declines in bank credit, an increase in lending interest rates, and a higher likelihood of triggering a banking crisis than pre-emptive restructurings. Our local projection estimates show large declines in GDP, investment, and credit amplified by severe sudden stops and transmitted through a “capital inflow-credit channel”.

Sovereign Debt Restructurings 1950-2010

Mr.Udaibir S. Das,Mr.Michael G Papaioannou,Christoph Trebesch
Sovereign Debt Restructurings 1950 2010 Book PDF

Author : Mr.Udaibir S. Das,Mr.Michael G Papaioannou,Christoph Trebesch
Publisher : International Monetary Fund
Page : 128 pages
File Size : 45,9 Mb
Release : 2012-08-01
Category : Business & Economics
ISBN : 9781475505535

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Sovereign Debt Restructurings 1950-2010 by Mr.Udaibir S. Das,Mr.Michael G Papaioannou,Christoph Trebesch Pdf

This paper provides a comprehensive survey of pertinent issues on sovereign debt restructurings, based on a newly constructed database. This is the first complete dataset of sovereign restructuring cases, covering the six decades from 1950–2010; it includes 186 debt exchanges with foreign banks and bondholders, and 447 bilateral debt agreements with the Paris Club. We present new stylized facts on the outcome and process of debt restructurings, including on the size of haircuts, creditor participation, and legal aspects. In addition, the paper summarizes the relevant empirical literature, analyzes recent restructuring episodes, and discusses ongoing debates on crisis resolution mechanisms, credit default swaps, and the role of collective action clauses.

Managing the Sovereign-Bank Nexus

Mr.Giovanni Dell'Ariccia,Caio Ferreira,Nigel Jenkinson,Mr.Luc Laeven,Alberto Martin,Ms.Camelia Minoiu,Alex Popov
Managing the Sovereign Bank Nexus Book PDF

Author : Mr.Giovanni Dell'Ariccia,Caio Ferreira,Nigel Jenkinson,Mr.Luc Laeven,Alberto Martin,Ms.Camelia Minoiu,Alex Popov
Publisher : International Monetary Fund
Page : 54 pages
File Size : 50,9 Mb
Release : 2018-09-07
Category : Business & Economics
ISBN : 9781484359624

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Managing the Sovereign-Bank Nexus by Mr.Giovanni Dell'Ariccia,Caio Ferreira,Nigel Jenkinson,Mr.Luc Laeven,Alberto Martin,Ms.Camelia Minoiu,Alex Popov Pdf

This paper reviews empirical and theoretical work on the links between banks and their governments (the bank-sovereign nexus). How significant is this nexus? What do we know about it? To what extent is it a source of concern? What is the role of policy intervention? The paper concludes with a review of recent policy proposals.

Global Waves of Debt

M. Ayhan Kose,Peter Nagle,Franziska Ohnsorge,Naotaka Sugawara
Global Waves of Debt Book PDF

Author : M. Ayhan Kose,Peter Nagle,Franziska Ohnsorge,Naotaka Sugawara
Publisher : World Bank Publications
Page : 403 pages
File Size : 55,7 Mb
Release : 2021-03-03
Category : Business & Economics
ISBN : 9781464815454

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Global Waves of Debt by M. Ayhan Kose,Peter Nagle,Franziska Ohnsorge,Naotaka Sugawara Pdf

The global economy has experienced four waves of rapid debt accumulation over the past 50 years. The first three debt waves ended with financial crises in many emerging market and developing economies. During the current wave, which started in 2010, the increase in debt in these economies has already been larger, faster, and broader-based than in the previous three waves. Current low interest rates mitigate some of the risks associated with high debt. However, emerging market and developing economies are also confronted by weak growth prospects, mounting vulnerabilities, and elevated global risks. A menu of policy options is available to reduce the likelihood that the current debt wave will end in crisis and, if crises do take place, will alleviate their impact.

Global Financial Stability Report, April 2012

International Monetary Fund. Monetary and Capital Markets Department
Global Financial Stability Report April 2012 Book PDF

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 94 pages
File Size : 49,8 Mb
Release : 2012-04-18
Category : Business & Economics
ISBN : 9781616352479

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Global Financial Stability Report, April 2012 by International Monetary Fund. Monetary and Capital Markets Department Pdf

The April 2012 Global Financial Stability Report assesses changes in risks to financial stability over the past six months, focusing on sovereign vulnerabilities, risks stemming from private sector deleveraging, and assessing the continued resilience of emerging markets. The report probes the implications of recent reforms in the financial system for market perception of safe assets, and investigates the growing public and private costs of increased longevity risk from aging populations.

Local Currency Bond Markets - A Diagnostic Framework

World Bank,International Monetary Fund,Inter-Secretariat Working Group on National Accounts,European Bank for Reconstruction and Development
Local Currency Bond Markets A Diagnostic Framework Book PDF

Author : World Bank,International Monetary Fund,Inter-Secretariat Working Group on National Accounts,European Bank for Reconstruction and Development
Publisher : International Monetary Fund
Page : 40 pages
File Size : 49,8 Mb
Release : 2013-07-09
Category : Business & Economics
ISBN : 9781498341523

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Local Currency Bond Markets - A Diagnostic Framework by World Bank,International Monetary Fund,Inter-Secretariat Working Group on National Accounts,European Bank for Reconstruction and Development Pdf

In November 2011, the G-20 endorsed an action plan to support the development of local currency bond markets (LCBM). International institutions—the IMF, the World Bank, the EBRD, and the OECD—were asked to draw on their experience to develop a diagnostic framework (DF) to identify general preconditions, key components, and constraints for successful LCBM development. The objective is to provide a tool for analyzing the state of development and efficiency of local currency bond markets. The application of the DF is expected to be flexible, bearing in mind that the potential for LCBM development depends on economic size, financing needs, and stage of economic development.

Fragilities in the U.S. Treasury Market

Antoine Bouveret,Mr. Peter Breuer,Ms. Yingyuan Chen,David Jones,Tsuyoshi Sasaki
Fragilities in the U S Treasury Market Book PDF

Author : Antoine Bouveret,Mr. Peter Breuer,Ms. Yingyuan Chen,David Jones,Tsuyoshi Sasaki
Publisher : International Monetary Fund
Page : 44 pages
File Size : 45,8 Mb
Release : 2015-10-13
Category : Business & Economics
ISBN : 9781513566474

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Fragilities in the U.S. Treasury Market by Antoine Bouveret,Mr. Peter Breuer,Ms. Yingyuan Chen,David Jones,Tsuyoshi Sasaki Pdf

Changes in the structure of the U.S. Treasury market over recent years may have increased risks to financial stability. Traditional market makers have changed their liquidity provision by increasingly switching from risk warehousing to risk distribution, and a new breed of market maker has emerged with the rise of electronic trading. The 'flash rally' of October 15, 2014 provides a clear example of how those risks can materialize. Based on an in-depth analysis of the event-complementing the authorities' work-we suggest i) providing incentives for liquidity provision, ii) improving market safeguards, and iii) enhancing the regulation of the Treasury market.

Markets for Corporate Debt Securities

T. Todd Smith
Markets for Corporate Debt Securities Book PDF

Author : T. Todd Smith
Publisher : International Monetary Fund
Page : 88 pages
File Size : 42,9 Mb
Release : 1995-07-01
Category : Business & Economics
ISBN : 9781451848878

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Markets for Corporate Debt Securities by T. Todd Smith Pdf

This paper surveys markets for corporate debt securities in the major industrial countries and the international markets. The discussion includes a comparison of the sizes of the markets for various products, as well as the key operational, institutional, and legal features of primary and secondary markets. Although there are some signs that debt markets may be emphasized in the future by some countries, it remains true that North American debt markets are the most active and liquid in the world. The international debt markets are, however, growing in importance. The paper also investigates some of the reasons for the underdevelopment of domestic bond markets and the consequences of firms shifting their debt financing needs from banks to securities markets.

Foundations of High-Yield Analysis

Martin S. Fridson
Foundations of High Yield Analysis Book PDF

Author : Martin S. Fridson
Publisher : CFA Institute Research Foundation
Page : 64 pages
File Size : 49,5 Mb
Release : 2018-08-27
Category : Business & Economics
ISBN : 9781944960544

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Foundations of High-Yield Analysis by Martin S. Fridson Pdf

Since the advent some 40 years ago of a vibrant primary market for speculative-grade corporate bonds, the high-yield market has evolved from a niche occupied by a small group of specialists into a full-fledged institutional investment category. Asset allocators and portfolio managers now have at their disposal the tools necessary for rigorous investment analysis, including financial statements of the issuers, indexes, trading prices, historical default rates, and time series on such credit factors as liquidity, ratings, and covenant quality. This research brief provides up-to-date techniques for extracting from the extensive data the information that can lead to sound investment decisions.

The Dynamics of Sovereign Debt Crises and Bailouts

Mr.Francisco Roch,Harald Uhlig
The Dynamics of Sovereign Debt Crises and Bailouts Book PDF

Author : Mr.Francisco Roch,Harald Uhlig
Publisher : International Monetary Fund
Page : 46 pages
File Size : 53,7 Mb
Release : 2016-09-06
Category : Business & Economics
ISBN : 9781475533248

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The Dynamics of Sovereign Debt Crises and Bailouts by Mr.Francisco Roch,Harald Uhlig Pdf

Motivated by the recent European debt crisis, this paper investigates the scope for a bailout guarantee in a sovereign debt crisis. Defaults may arise from negative income shocks, government impatience or a "sunspot"-coordinated buyers strike. We introduce a bailout agency, and characterize the minimal actuarially fair intervention that guarantees the no-buyers-strike fundamental equilibrium, relying on the market for residual financing. The intervention makes it cheaper for governments to borrow, inducing them borrow more, leaving default probabilities possibly rather unchanged. The maximal backstop will be pulled precisely when fundamentals worsen.

Recovery Rates From Distressed Debt

Mr.Manmohan Singh
Recovery Rates From Distressed Debt Book PDF

Author : Mr.Manmohan Singh
Publisher : International Monetary Fund
Page : 26 pages
File Size : 48,6 Mb
Release : 2003-08-01
Category : Business & Economics
ISBN : 9781451857832

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Recovery Rates From Distressed Debt by Mr.Manmohan Singh Pdf

On a credit rating-adjusted basis, spreads on U.S. high-yield debt have typically been regarded as a lower bound for emerging market debt. However in the C-rated and defaulted segment, emerging market debt has traded at lower spreads than similarly rated U.S. high yield debt. We show that the lower spreads reflect the fact that the total returns from defaulted debt in the emerging markets have been significantly higher than returns from similarly rated high yield defaulted debt under Chapter 11.

Global Financial Stability Report, October 2019

International Monetary Fund. Monetary and Capital Markets Department
Global Financial Stability Report October 2019 Book PDF

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 109 pages
File Size : 47,8 Mb
Release : 2019-10-16
Category : Business & Economics
ISBN : 9781498324021

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Global Financial Stability Report, October 2019 by International Monetary Fund. Monetary and Capital Markets Department Pdf

The October 2019 Global Financial Stability Report (GFSR) identifies the current key vulnerabilities in the global financial system as the rise in corporate debt burdens, increasing holdings of riskier and more illiquid assets by institutional investors, and growing reliance on external borrowing by emerging and frontier market economies. The report proposes that policymakers mitigate these risks through stricter supervisory and macroprudential oversight of firms, strengthened oversight and disclosure for institutional investors, and the implementation of prudent sovereign debt management practices and frameworks for emerging and frontier market economies.