06338oam 22012854 450 991095981370332120250426110809.09786613820969978146232352414623235299781452766249145276624X9781282447738128244773497814519132551451913257(CKB)3360000000443135(EBL)1607689(SSID)ssj0000949451(PQKBManifestationID)11485489(PQKBTitleCode)TC0000949451(PQKBWorkID)10996663(PQKB)10029495(OCoLC)535146987(IMF)WPIEE2008010(MiAaPQ)EBC1607689(IMF)WPIEA2008010WPIEA2008010(EXLCZ)99336000000044313520020129d2008 uf 0engur|n|---|||||txtccrEmerging Market Spread Compression : Is it Real or is it Liquidity? /Laura Kodres, Kristian Hartelius, Kenichiro Kashiwase1st ed.Washington, D.C. :International Monetary Fund,2008.1 online resource (38 p.)IMF Working Papers"January 2008."9781451868722 1451868723 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 Papers; Working Paper ;No. 2008/010BondsDeveloping countriesEconometric modelsLiquidity (Economics)Econometric modelsCredit ratingsDeveloping countriesEconometric modelsBanks and BankingimfCapital marketimfCredit ratingsimfDerivative securitiesimfEmerging and frontier financial marketsimfFinanceimfFinance: GeneralimfFinancial InstrumentsimfFinancial services industryimfFuturesimfGeneral Financial Markets: General (includes Measurement and Data)imfInstitutional InvestorsimfInterest ratesimfInterest Rates: Determination, Term Structure, and EffectsimfInvestments: FuturesimfMonetary economicsimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfMoney and Monetary PolicyimfNon-bank Financial InstitutionsimfPension FundsimfSecurities marketsimfYield curveimfUnited StatesimfBondsEconometric models.Liquidity (Economics)Econometric models.Credit ratingsEconometric models.Banks and BankingCapital marketCredit ratingsDerivative securitiesEmerging and frontier financial marketsFinanceFinance: GeneralFinancial InstrumentsFinancial services industryFuturesGeneral Financial Markets: General (includes Measurement and Data)Institutional InvestorsInterest ratesInterest Rates: Determination, Term Structure, and EffectsInvestments: FuturesMonetary economicsMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralMoney and Monetary PolicyNon-bank Financial InstitutionsPension FundsSecurities marketsYield curve338.2357Kodres Laura1815820Hartelius Kristian1815821Kashiwase Kenichiro1815786International Monetary Fund.Monetary and Capital Markets Dept.DcWaIMFBOOK9910959813703321Emerging Market Spread Compression4371352UNINA