LEADER 04196nam  2200661 a 450 
001 9910464840003321
005 20170817212637.0
010   $a1-4623-2352-9
010   $a1-4527-6624-X
010   $a1-282-44773-4
010   $a1-4519-1325-7
010   $a9786613820969
035   $a(CKB)3360000000443135
035   $a(EBL)1607689
035   $a(SSID)ssj0000949451
035   $a(PQKBManifestationID)11485489
035   $a(PQKBTitleCode)TC0000949451
035   $a(PQKBWorkID)10996663
035   $a(PQKB)10029495
035   $a(OCoLC)535146987
035   $a(MiAaPQ)EBC1607689
035   $a(EXLCZ)993360000000443135
100   $a20090811d2008      uy             0
101 0 $aeng
135   $aur|n|---|||||
181   $ctxt
182   $cc
183   $acr
200 10$aEmerging market spread compression$b[electronic resource] $eis it real or is it liquidity? /$fprepared by Kristian Hartelius, Kenichiro Kashiwase, and Laura E. Kodres
210   $aWashington, D.C. $cInternational Monetary Fund, Monetary and Capital Markets Dept.$d2008
215   $a1 online resource (38 p.)
225 1 $aIMF working paper ;$vWP/08/10
300   $a"January 2008."
311   $a1-4518-6872-3 
320   $aIncludes bibliographical references (p. 35-36).
327   $aContents; 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 Spread
327   $aConstruction of the Total Credit Rating-Outlook Index (CROI)4. Average vis-a?-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-a?-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 Models
327   $a6. 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; References
330   $aDespite recent turmoil, spreads on emerging market countries' sovereign bonds have fallen dramatically since mid-2002. Some have attributed the fall to improved economic fundamentals while others to ample global liquidity. The paper models spreads and attempts to empirically distinguish between the two factors. The results indicate that fundamentals, as embedded in credit ratings, are very important, but that expectations of future U.S. interest rates and volatility in those expectations are also a key determinant of emerging market spreads.
410  0$aIMF working paper ;$vWP/08/10.
606   $aBonds$zDeveloping countries$xEconometric models
606   $aLiquidity (Economics)$xEconometric models
606   $aCredit ratings$zDeveloping countries$xEconometric models
608   $aElectronic books.
615  0$aBonds$xEconometric models.
615  0$aLiquidity (Economics)$xEconometric models.
615  0$aCredit ratings$xEconometric models.
700   $aHartelius$b Kristian$0937527
701   $aKashiwase$b Kenichiro$0937528
701   $aKodres$b Laura E$0937529
712 02$aInternational Monetary Fund.$bMonetary and Capital Markets Dept.
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910464840003321
996   $aEmerging market spread compression$92111716
997   $aUNINA