04221nam 2200685 a 450 991081987010332120200520144314.01-4623-2352-91-4527-6624-X1-282-44773-41-4519-1325-79786613820969(CKB)3360000000443135(EBL)1607689(SSID)ssj0000949451(PQKBManifestationID)11485489(PQKBTitleCode)TC0000949451(PQKBWorkID)10996663(PQKB)10029495(OCoLC)535146987(IMF)WPIEE2008010(MiAaPQ)EBC1607689(EXLCZ)99336000000044313520090811d2008 uy 0engur|n|---|||||txtccrEmerging market spread compression is it real or is it liquidity? /prepared by Kristian Hartelius, Kenichiro Kashiwase, and Laura E. Kodres1st ed.Washington, D.C. International Monetary Fund, Monetary and Capital Markets Dept.20081 online resource (38 p.)IMF working paper ;WP/08/10"January 2008."1-4518-6872-3 Includes bibliographical references (p. 35-36).Contents; I. Introduction; II. Data; A. Variables; Emerging Market Bond Spreads; Tables; 1. Availability of EMBI and EMBI Global; Credit Ratings and Outlooks; Fed Funds Futures; Figures; 1. Changes in Sovereign Credit Ratings and Outlook: January 1991~February 2007; Volatility in the Fed Funds Futures Market; Volatility Index of S&P 500 (VIX); 2. Volatility of Fed Funds Futures Market and Emerging Market Bond Spread; B. Total Credit Rating-Outlook Index (CROI); Log Linearity Between the Spreads and Ratings; 3. VIX and Emerging Market Bond SpreadConstruction of the Total Credit Rating-Outlook Index (CROI)4. Average vis-à-vis Estimated Bond Spreads on Long-Term Sovereign Credit Ratings; 2. Total Credit Rating-Outlook Index (CROI); III. Results; A. Basic Model; 5. Aggregate Fundamentals: Total Credit Rating-Outlook Index (CROI) vis-à-vis Long-Term Credit-Rating Index (LTCR); 3. Basic Model Results: CROI vs. LTCR, December 1991~February 2007; B. Extended Model with Volatility; 4. Extended Model Results: CROI vs. LTCR, January 1991~February 1997; C. Graphical Interpretation of the Models6. Actual vs. Estimated Spreads Extended Model with CROI as FundamentalsD. Contributions to EMBI Spreads; 5. Determinants of Change in the EMBIG Spread, December 2002-February 2007; IV. Conclusions; Appendix; Appendix 1.A: A Procedure of Constructing the CROI; Appendix Figure; 1. Actual and Estimated Spreads: Extended Model with CROI as Fundamentals; ReferencesDespite 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 the two factors. The results indicate that fundamentals, as embedded in credit ratings, are very important, but that expectations of future U.S. interest rates and volatility in those expectations are also a key determinant of emerging market spreads.IMF working paper ;WP/08/10.BondsDeveloping countriesEconometric modelsLiquidity (Economics)Econometric modelsCredit ratingsDeveloping countriesEconometric modelsBondsEconometric models.Liquidity (Economics)Econometric models.Credit ratingsEconometric models.338.2357Hartelius Kristian1631981Kashiwase Kenichiro1631982Kodres Laura E1759735International Monetary Fund.Monetary and Capital Markets Dept.MiAaPQMiAaPQMiAaPQBOOK9910819870103321Emerging market spread compression4198378UNINA