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How Private Creditors Fared in Emerging Debt Markets, 1970-2000
Zettelmeyer, Jeromin; Weder, Beatrice; Klingen, Christoph - International Monetary Fund (IMF) - 2004
bond. This reflects the combined effect of the 1980s debt crisis and much higher returns during 1989-2000. Annual returns …
Persistent link: https://www.econbiz.de/10005264003
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Haircuts; Estimating Investor Losses in Sovereign Debt Restructurings, 1998-2005
Zettelmeyer, Jeromin; Sturzenegger, Federico - International Monetary Fund (IMF) - 2005
This paper estimates bond-by-bond "haircuts"-realized investor losses-in recent debt restructurings in Russia, Ukraine …
Persistent link: https://www.econbiz.de/10005825806
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Economic Growth and Integration in Central America
Schipke, Alfred; Desruelle, Dominique - International Monetary Fund (IMF) - 2007
system development, sovereign debt vulnerabilities, and ways to sustain progress in reducing inflation by strengthening the …
Persistent link: https://www.econbiz.de/10005590924
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Pricing of Sovereign Credit Risk; Evidence From Advanced Economies During the Financial Crisis
Alper, C. Emre; Forni, Lorenzo; Gerard, Marc - International Monetary Fund (IMF) - 2012
We investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by examining two widely-used indicators: sovereign credit default swap (CDS) and relative asset swap (RAS) spreads. Cointegration analysis suggests the existence of an imperfect market...
Persistent link: https://www.econbiz.de/10009650642
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Interest Rate Determination in Lebanon
Poddar, Tushar; Goswami, Mangal; Sole, Juan; Icaza, … - International Monetary Fund (IMF) - 2006
This paper seeks to understand how interest rates are formed in Lebanon, by focusing on the pass-through from benchmark rates, prevailing liquidity conditions, and the main characteristics of the Lebanese economy, notably its open capital account, fixed exchange rate, high government borrowing...
Persistent link: https://www.econbiz.de/10005248309
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High and Volatile Treasury Yields in Tanzania; The Role of Strategic Bidding and Auction Microstructure
Sobolev, Yuri Vladimirovich; Abbas, S. M. Ali - International Monetary Fund (IMF) - 2008
The observed increase in the level and volatility of Tanzania's Treasury yields in recent years against an otherwise … the rising level of yields; while the high volatility during 2006-07 could be traced to the emergence of a sharp …
Persistent link: https://www.econbiz.de/10005264088
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Euro Area Sovereign Risk During the Crisis
Zoli, Edda; Sgherri, Silvia - International Monetary Fund (IMF) - 2009
sectors' frailty and future debt dynamics. The liquidity of sovereign bond markets still seems to play a significant (albeit …
Persistent link: https://www.econbiz.de/10008559283
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Monetary Independence in Emerging Markets; Does the Exchange Rate Regime Make a Difference?
Philippon, Thomas; Zettelmeyer, Jeromin; Borensztein, … - International Monetary Fund (IMF) - 2001
This paper compares the impact of shocks to U.S. interest rates and emerging market bond spreads on domestic interest …, they react about the same to bond spread shocks, in addition to a significant impact on the exchange rate. …
Persistent link: https://www.econbiz.de/10005825800
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Volatility and Jump Risk Premia in Emerging Market Bonds
Matovu, John - International Monetary Fund (IMF) - 2007
There is strong evidence that interest rates and bond yield movements exhibit both stochastic volatility and … associated bond yields by estimating the volatility and jump risk premia in highly volatile markets. Using the simulated method … observed bond yields. This paper identifies a class of jump-diffusion models that are successful in approximating the term …
Persistent link: https://www.econbiz.de/10005825819
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Credit Rationing in Emerging Economies' Access to Global Capital Markets
Zoli, Edda - International Monetary Fund (IMF) - 2004
This paper tests empirically the theoretical prediction that the country premium paid by emerging economies on sovereign debt increases with the amount of debt up to a certain critical level, above which the supply of foreign funds becomes fixed. The results confirm this theoretical prediction....
Persistent link: https://www.econbiz.de/10005825963