Emerging Market Spread Compression : Is it Real or is it Liquidity?.
Laura E. Kodres
Bok Engelsk 2008 · Electronic books.
| Utgitt | International Monetary Fund
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|---|---|
| Omfang | 1 online resource (38 pages)
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| Utgave | 1st ed.
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| Opplysninger | Intro -- Contents -- I. Introduction -- II. Data -- A. Variables -- Emerging Market Bond Spreads -- Credit Ratings and Outlooks -- Fed Funds Futures -- Volatility in the Fed Funds Futures Market -- Volatility Index of S& -- P 500 (VIX) -- B. Total Credit Rating-Outlook Index (CROI) -- Log Linearity Between the Spreads and Ratings -- Construction of the Total Credit Rating-Outlook Index (CROI) -- III. Results -- A. Basic Model -- B. Extended Model with Volatility -- C. Graphical Interpretation of the Models -- D. Contributions to EMBI Spreads -- IV. Conclusions -- References -- Tables -- 1. Availability of EMBI and EMBI Global -- 2. Total Credit Rating-Outlook Index (CROI) -- 3. Basic Model Results: CROI vs. LTCR, December 1991~February 2007 -- 4. Extended Model Results: CROI vs. LTCR, January 1991~February 1997 -- 5. Determinants of Change in the EMBIG Spread, December 2002-February 2007 -- Figures -- 1. Changes in Sovereign Credit Ratings and Outlook: January 1991~February 2007 -- 2. Volatility of Fed Funds Futures Market and Emerging Market Bond Spread -- 3. VIX and Emerging Market Bond Spread -- 4. Average vis-à-vis Estimated Bond Spreads on Long-Term Sovereign Credit Ratings -- 5. Aggregate Fundamentals: Total Credit Rating-Outlook Index (CROI) vis-à-vis Long-Term Credit-Rating Index (LTCR) -- 6. Actual vs. Estimated Spreads Extended Model with CROI as Fundamentals -- Appendix -- Appendix 1.A: A Procedure of Constructing the CROI -- Appendix Figure -- 1. Actual and Estimated Spreads: Extended Model with CROI as Fundamentals.. - Despite recent turmoil, spreads on emerging market countries' sovereign bonds have fallen dramatically since mid-2002. Some have attributed the fall to improved economic fundamentals while others to ample global liquidity. The paper models spreads and attempts to empirically distinguish between the two factors. The results indicate that fundamentals, as embedded in credit ratings, are very important, but that expectations of future U.S. interest rates and volatility in those expectations are also a key determinant of emerging market spreads.
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| Emner | |
| Sjanger | |
| Dewey | |
| ISBN | 1451913257. - 9781451913255
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