How Private Creditors Fared in Emerging Debt Markets, 1970-2000

We estimate ex post returns to emerging market debt by combining secondary-market prices with observed flows based on World Bank data. From 1970-2000, returns averaged 9 percent per annum, about the same as returns on a ten-year U.S. treasury bond. This reflects the combined effect of the 1980s debt crisis and much higher returns during 1989-2000. Annual returns since 1986 have been less volatile than emerging market equity returns but more volatile than returns on U.S. corporate or high-yield bonds. However, unlike returns on these bonds, emerging market debt returns do not seem significantly correlated with U.S. or world stock markets.

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Year of publication:	2004-01-01
Authors:	Zettelmeyer, Jeromin ; Weder, Beatrice ; Klingen, Christoph
Institutions:	International Monetary Fund (IMF)
Subject:	Sovereign debt \| Capital flows \| Emerging markets \| debt \| bonds \| bond \| creditors \| debt stock \| long term debt \| short term debt \| interest \| bond prices \| loans \| debt flows \| payments \| debt stocks \| corporate bonds \| external debt \| stock returns \| brady bond \| brady bonds \| debt restructuring \| high-yield bonds \| currency valuation \| treasury bonds \| debt consolidation \| repayment \| restructuring \| government bond \| creditor \| bond returns \| stock markets \| debtor countries \| equity markets \| debtors \| stock market \| stock-flow reconciliation \| cross-currency valuation \| debt service \| defaults \| government bonds \| ppg debt \| debt instruments \| world stock markets \| bond issues \| debt outstanding \| corporate bond \| debtor reporting \| bank loans \| bond yields \| debt stock outstanding \| bailouts \| discount ? bonds \| bond market \| high-yield bond \| international bonds \| interest rate risk \| risk premium \| dollar bonds \| long term debt stock \| outstanding debt \| treasury bond \| corporate bond returns \| currency valuation adjustments \| world debt tables \| bond rates \| bond index \| moral hazard \| debt buy back \| default risk \| emerging stock markets \| stock of debt \| stock adjustments \| public debt \| world stock market \| equity market \| market bond \| bond markets \| discount bonds \| bond indices \| cash flows \| emerging market bond \| bond price \| debt crises \| debt stock-flow reconciliation \| debt forgiveness \| liabilities \| international debt \| coupon bonds \| zero coupon bonds \| emerging market bonds \| eurobonds \| par bonds \| debt problems \| debt stock reduction \| financial economics \| asset markets \| yield curve \| market discount \| bond issue \| outstanding debt stocks \| debt stock reductions \| global ? bond \| stock-flow discrepancies \| debt conversion \| bond stock \| international capital markets \| coupon bond \| international bond \| interest capitalization \| secondary markets \| global bond indices \| currency of denomination \| commercial bank debt \| domestic government bonds \| bond categories \| c-bonds \| debts \| internal rate of return \| bond holders \| international capital \| emerging bond markets \| international bond issues \| high-yield corporate bonds \| corporate bond index \| international finance \| financial assets \| financial market \| emerging bond market \| bond disbursements \| government bond yields \| global ? bond index \| guaranteed bonds \| outstanding debt stock \| returns on bonds \| private nonguaranteed debt \| high yield bonds \| private debt \| bond return \| par ? bonds \| sterling bonds \| debt reduction \| debt end-stock \| stock-flow identity \| stock market decline \| global bond \| international financial architecture \| bond price aggregation \| emerging markets stock \| debt swaps \| equity] market

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Extent:	application/pdf
Series:	IMF Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series IMF Working Papers Number 04/13 6 pages long
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005264003