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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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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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Currency Risk Premia in Global Stock Markets.
Roache, Shaun K - 2006
Intro -- Contents -- I. INTRODUCTION -- II. PREVIOUS LITERATURE -- III. MODEL SPECIFICATION -- IV. ESTIMATION -- V. DATA AND PRELIMINARY STATISTICS -- VI. MAIN RESULTS -- VII. CONCLUSIONS -- REFERENCES.
Persistent link: https://www.econbiz.de/10012691179
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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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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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Development of Financial Markets in Central Europe; The Case of the Ce4 Countries
Adarov, Amat; Tchaidze, Robert - International Monetary Fund (IMF) - 2011
bond markets are comparable in size, measured by capitalization in percent of GDP, the private bond, private credit, and … the private bond market a significant gap remains even after accounting for these factors. …
Persistent link: https://www.econbiz.de/10009019571
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Market Phoenixes and Banking Ducks Are Recoveries Faster in Market-Based Financial Systems?
Allard, Julien; Blavy, Rodolphe - International Monetary Fund (IMF) - 2011
Recoveries vary considerably across countries: our paper compares recoveries in bank-based and market-based economies and finds that market-based economies experience significantly and durably stronger rebounds than the bank-based ones (in particular the more bank-based economies of continental...
Persistent link: https://www.econbiz.de/10009293778
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The Role of Subordinated Debt in Market Discipline; The Case of Emerging Markets
Karacadag, Cem; Shrivastava, Animesh - International Monetary Fund (IMF) - 2000
This paper evaluates the potential role of mandatory subordinated debt (MSD) in enhancing market discipline in emerging markets. The conceptual merits and key preconditions of MSD are first reviewed. Then, the extent to which emerging markets satisfy these preconditions—among them the...
Persistent link: https://www.econbiz.de/10005599477
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International Financial Integration Through Equity Markets; Which Firms From Which Countries Go Global?
Schmukler, Sergio L.; Claessens, Stijn - International Monetary Fund (IMF) - 2007
This paper studies international financial integration analyzing firms from various countries raising capital, trading equity, and/or cross-listing in major world stock markets. Using a large sample of 39,517 firms from 111 countries covering the period 1989-2000, we find that, although...
Persistent link: https://www.econbiz.de/10005605173