The Impact Of Macroeconomic Announcements On Emerging Market Bonds

Author : Jochen R. Andritzky,Geoffrey J. Bannister,Natalia T. Tamirisa
Publisher : INTERNATIONAL MONETARY FUND
Page : 31 pages
File Size : 48,6 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 : Ms.Prachi Mishra,Mr.Kenji Moriyama,Papa M'B. P. N'Diaye,Lam Nguyen
Publisher : International Monetary Fund
Page : 34 pages
File Size : 51,6 Mb
Release : 2014-06-17
Category : Business & Economics
ISBN : 9781498361484

Get Book

Impact of Fed Tapering Announcements on Emerging Markets by Ms.Prachi Mishra,Mr.Kenji Moriyama,Papa M'B. P. N'Diaye,Lam Nguyen Pdf

This paper analyzes market reactions to the 2013–14 Fed announcements relating to tapering of asset purchases and their relationship to macroeconomic fundamentals and country economic and financial structures. The study uses daily data on exchange rates, government bond yields, and stock prices for 21 emerging markets. It finds evidence of markets differentiating across countries around volatile episodes. Countries with stronger macroeconomic fundamentals, deeper financial markets, and a tighter macroprudential policy stance in the run-up to the tapering announcements experienced smaller currency depreciations and smaller increases in government bond yields. At the same time, there was less differentiation in the behavior of stock prices based on fundamentals.

Author : Anonim
Publisher : Unknown
Page : 32 pages
File Size : 49,9 Mb
Release : 2009
Category : Bonds
ISBN : IND:30000111481853

Get Book

Macroeconomic Fundamentals, Price Discovery and Volatility Dynamics in Emerging Markets by Anonim Pdf

Author : Mr.Shanaka J. Peiris
Publisher : International Monetary Fund
Page : 21 pages
File Size : 55,6 Mb
Release : 2010-04-01
Category : Business & Economics
ISBN : 9781451982602

Get Book

Foreign Participation in Emerging Markets’ Local Currency Bond Markets by Mr.Shanaka J. Peiris Pdf

This paper estimates the impact of foreign participation in determining long-term local currency government bond yields and volatility in a group of emerging markets from 2000-2009. The results of a panel data analysis of 10 emerging markets show that greater foreign participation in the domestic government bond market tends to significantly reduce long-term government yields. Moreover, greater foreign participation does not necessarily result in increased volatility in bond yields in emerging markets and, in fact, could even dampen volatility in some instances.

Author : Paolo Mauro,Nathan Sussman,Yishay Yafeh
Publisher : Oxford University Press
Page : 204 pages
File Size : 42,5 Mb
Release : 2006-03-16
Category : Business & Economics
ISBN : 9780199272693

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 : Laura Jaramillo,Anke Weber
Publisher : International Monetary Fund
Page : 25 pages
File Size : 40,8 Mb
Release : 2012-08-01
Category : Business & Economics
ISBN : 9781475505481

Get Book

Bond Yields in Emerging Economies by Laura Jaramillo,Anke Weber Pdf

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.

Author : Delong Li,Mr. Nicolas E Magud,Alejandro M. Werner,Samantha Witte
Publisher : International Monetary Fund
Page : 51 pages
File Size : 42,8 Mb
Release : 2021-06-04
Category : Business & Economics
ISBN : 9781513573410

Get Book

The Long-Run Impact of Sovereign Yields on Corporate Yields in Emerging Markets by Delong Li,Mr. Nicolas E Magud,Alejandro M. Werner,Samantha Witte Pdf

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.

Author : Mr. Evan Papageorgiou,Rohit Goel
Publisher : International Monetary Fund
Page : 14 pages
File Size : 55,5 Mb
Release : 2021-12-16
Category : Business & Economics
ISBN : 9781616357597

Get Book

Drivers of Emerging Market Bond Flows and Prices by Mr. Evan Papageorgiou,Rohit Goel Pdf

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.

Author : Iva Petrova,Mr.Michael G Papaioannou,Mr.Dimitri Bellas
Publisher : International Monetary Fund
Page : 27 pages
File Size : 55,7 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.

Author : Philipp Engler,Mr. Roberto Piazza,Galen Sher
Publisher : International Monetary Fund
Page : 36 pages
File Size : 53,5 Mb
Release : 2023-05-19
Category : Business & Economics
ISBN : 9798400234811

Get Book

Spillovers to Emerging Markets from US Economic News and Monetary Policy by Philipp Engler,Mr. Roberto Piazza,Galen Sher Pdf

When the U.S. economy sneezes, do emerging markets catch a cold? We show that economic news, and not just monetary policy, in the United States affects financial conditions in emerging markets. News about U.S. employment has the strongest effects, followed by news about economic activity and about vaccines during the COVID-19 pandemic. News about inflation has instead limited effects on average. A key channel of international transmission of U.S. economic news appears to be the risk perceptions or risk aversion of international investors. We also show that some of the transmission of U.S. economic news occurs independently of the U.S. monetary policy reaction. Finally, we expand on evidence that financial conditions in the U.S. and emerging markets respond differently to U.S. monetary policy surprises, depending on the reaction of US stock prices.

Author : Mahmood Pradhan,Mr.Ravi Balakrishnan,Reza Baqir,Mr.Geoffrey Heenan,Sylwia Nowak,Ceyda Oner,Mr.Sanjaya Panth
Publisher : International Monetary Fund
Page : 45 pages
File Size : 55,9 Mb
Release : 2011-04-20
Category : Business & Economics
ISBN : 9781463935122

Get Book

Policy Responses to Capital Flows in Emerging Markets by Mahmood Pradhan,Mr.Ravi Balakrishnan,Reza Baqir,Mr.Geoffrey Heenan,Sylwia Nowak,Ceyda Oner,Mr.Sanjaya Panth Pdf

Staff Discussion Notes showcase the latest policy-related analysis and research being developed by individual IMF staff and are published to elicit comment and to further debate. These papers are generally brief and written in nontechnical language, and so are aimed at a broad audience interested in economic policy issues. This Web-only series replaced Staff Position Notes in January 2011.

Author : Mr.A. Javier Hamann,Irina Bunda,Mr.Subir Lall
Publisher : International Monetary Fund
Page : 28 pages
File Size : 42,6 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.Fabio Comelli
Publisher : International Monetary Fund
Page : 43 pages
File Size : 48,7 Mb
Release : 2012-08-01
Category : Business & Economics
ISBN : 9781475505627

Get Book

Emerging Market Sovereign Bond Spreads by Mr.Fabio Comelli Pdf

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.

Author : Laura Jaramillo
Publisher : International Monetary Fund
Page : 23 pages
File Size : 44,5 Mb
Release : 2010-05-01
Category : Business & Economics
ISBN : 9781455200764

Get Book

Determinants of Investment Grade Status in Emerging Markets by Laura Jaramillo Pdf

Emerging market countries seek investment grade status to lower financing costs for the sovereign, expand the pool of potential investors to institutional investors, and allow corporates the possibility of reducing their borrowing costs. Using a random effects binomial logit model on a sample of 48 emerging markets, the paper finds that, to a large extent, investment grade rating assignments can be explained by a handful of variables. The results also suggest that efforts by emerging markets to increase the likelihood of an upgrade should focus on debt indicators rather than the other key determinants of investment grade status.

Author : Ms.Ratna Sahay,Mr.Vivek B. Arora,Mr.Athanasios V Arvanitis,Mr.Hamid Faruqee,Mr.Papa N'Diaye,Mr.Tommaso Mancini Griffoli
Publisher : International Monetary Fund
Page : 29 pages
File Size : 45,7 Mb
Release : 2014-10-02
Category : Business & Economics
ISBN : 9781484356005

Get Book

Emerging Market Volatility by Ms.Ratna Sahay,Mr.Vivek B. Arora,Mr.Athanasios V Arvanitis,Mr.Hamid Faruqee,Mr.Papa N'Diaye,Mr.Tommaso Mancini Griffoli Pdf

Accommodative monetary policies in advanced economies have spurred increased capital inflows into emerging markets since the global financial crisis. Starting in May 2013, when the Federal Reserve publicly discussed its plans for tapering unconventional monetary policies, these emerging markets have experienced financial turbulence at the same that their domestic economic activity has slowed. This paper examines their experiences and policy responses and draws broad policy lessons. For emerging markets, good macroeconomic fundamentals matter, and early and decisive measures to strengthen macroeconomic policies and reduce vulnerabilities help dampen market reactions to external shocks. For advanced economies, clear and effective communication about the exit from unconventional monetary policy can and did help later to reduce the risk of excessive market volatility. And for the global community, enhanced global cooperation, including a strong global financial safety net, offers emerging markets effective protection against excessive volatility.