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On international integration of emerging sovereign bond markets
Agur, Itai; Chan, Melissa; Mangal Goswami; Sharma, Sunil - 2018
The paper investigates the international integration of EM sovereign dollar-denominated and local-currency bond markets. Factor analysis is used to examine movements in sovereign bond yields and common sources of yield variation. The results suggest that EM dollar-denominated sovereign debt...
Persistent link: https://www.econbiz.de/10011799288
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A closed form multivariate linear filter
Boadway, Robin W.; Vitek, Francis - 2018
This paper considers the problem of jointly decomposing a set of time series variables into cyclical and trend components, subject to sets of stochastic linear restrictions among these cyclical and trend components. We derive a closed form solution to an ordinary problem featuring homogeneous...
Persistent link: https://www.econbiz.de/10011978601
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Effectiveness of capital controls in selected emerging markets in the 2000s
Baba, Chikako; Kokenyne, Annamaria - 2011
Persistent link: https://www.econbiz.de/10009419723
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Is Brazil Different? : Risk, Dollarization, and Interest Rates in Emerging Markets
Holland, Márcio - 2007
, but find that the effect is small after controlling for the risks of dilution and default. Brazil provides a natural case … explain the high interest rate levels in the aftermath of Brazil''s 1994 inflation stabilization. However, since the adoption … in 1999 of inflation targeting and floating exchange rates, Brazil''s real interest rates are gradually converging to the …
Persistent link: https://www.econbiz.de/10014401062
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Effectiveness of Capital Controls in Selected Emerging Markets in the 2000's
Baba, Chikako - 2011
This paper estimates the effectiveness of capital controls in response to inflow surges in Brazil, Colombia, Korea, and …
Persistent link: https://www.econbiz.de/10014397156
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Primary Surplus Behavior and Risks to Fiscal Sustainability in Emerging Market Countries : A ""Fan-Chart"" Approach
Celasun, Oya - 2006
of fiscal policy on the other. Applications to Argentina, Brazil, Mexico, South Africa, and Turkey are used to illustrate …
Persistent link: https://www.econbiz.de/10014399864
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Pick Your Poison : The Exchange Rate Regime and Capital Account Volatility in Emerging Markets
Iwata, Shigeru - 2003
for Brazil, Mexico, and Turkey reveal such responses, both contemporaneously and over time. Capital account shocks are …
Persistent link: https://www.econbiz.de/10014403824
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Are Credit Default Swaps Spreads High in Emerging Markets : An Alternative Methodology for Proxying Recovery Value
Singh, Manmohan - 2003
the inputs that are required to calculate such spreads. This note provides some evidence from Argentina and Brazil that … reveals inconsistency between theory and practice in pricing CDS spreads in EM. This note suggests an alternate methodology …
Persistent link: https://www.econbiz.de/10014403968
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Financing Infrastructure in India : Macroeconomic Lessons and Emerging Market Case Studies
Walsh, James - 2011
Driving infrastructure development, notably mobilizing financial resources for infrastructure projects, has been challenging in many countries. This study includes two parts: an empirical analysis of macroeconomic risks associated with infrastructure booms, and a case study of four emerging...
Persistent link: https://www.econbiz.de/10014398382
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A Latent Factor Model with Global, Country, and Industry Shocks for International Stock Returns
Del Negro, Marco - 2005
We estimate a latent factor model that decomposes international stock returns into global, country-, and industry-specific shocks and allows for stock-specific exposures to these shocks. We find that across stocks there is substantial dispersion in these exposures, which is partly explained by...
Persistent link: https://www.econbiz.de/10014400963