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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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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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Emerging market sovereign bond spreads : estimation and back-testing
Comelli, Fabio - 2012
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 …
Persistent link: https://www.econbiz.de/10009621639
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Credit Growth and the Effectiveness of Reserve Requirements and Other Macroprudential Instruments in Latin America
Fund, International Monetary - 2012
Over the past decade policy makers in Latin America have adopted a number of macroprudential instruments to manage the procyclicality of bank credit dynamics to the private sector and contain systemic risk. Reserve requirements, in particular, have been actively employed. Despite their...
Persistent link: https://www.econbiz.de/10012677545
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Emerging Market Spread Compression
Kodres, Laura E. - 2008
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...
Persistent link: https://www.econbiz.de/10012677558
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Is it (Still) Mostly Fiscal? Determinants of Sovereign Spreads in Emerging Markets
Gupta, Sanjeev - 2008
risk premiums as measured by sovereign bond spreads. Unlike previous studies, the results indicate that both fiscal and …
Persistent link: https://www.econbiz.de/10012677688
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Credit Risk Spreads in Local and Foreign Currencies
Wiener, Zvi - 2009
The paper shows how-in a Merton-type model with bankruptcy-the currency composition of debt changes the risk profile of a company raising a given amount of financing, and thus affects the cost of debt. Foreign currency borrowing is cheaper when the exchange rate is positively correlated with the...
Persistent link: https://www.econbiz.de/10012677782
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Perspectives on Low Global Interest Rates.
Catão, Luis - 2006
Intro -- Contents -- I. INTRODUCTION -- II. SOME HISTORICAL PERSPECTIVE -- III. SIMPLE ANALYTICS OF GLOBAL INTEREST RATE DETERMINATION -- IV. AN ASSET-PRICING PERSPECTIVE -- V. ECONOMETRIC EVIDENCE -- VI. CONCLUSIONS -- APPENDIX I. THEORETICAL FRAMEWORK -- REFERENCES.
Persistent link: https://www.econbiz.de/10012691062
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Interest Rate Determination in Lebanon.
Mangal Goswami - 2006
Persistent link: https://www.econbiz.de/10012691097
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Banking Spreads in Latin America.
Gelos, Gaston - 2006
Persistent link: https://www.econbiz.de/10012691173