LEADER 06094oam 22011774 450 001 9910788523003321 005 20230721050846.0 010 $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(IMF)WPIEE2008010 035 $a(EXLCZ)993360000000443135 100 $a20020129d2008 uf 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aEmerging Market Spread Compression : $eIs it Real or is it Liquidity? /$fLaura Kodres, Kristian Hartelius, Kenichiro Kashiwase 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2008. 215 $a1 online resource (38 p.) 225 1 $aIMF Working Papers 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 3 $aDespite recent turmoil, spreads on emerging market countries' sovereign bonds have fallen dramatically since mid-2002. Some have attributed the fall to improved economic fundamentals while others to ample global liquidity. The paper models spreads and attempts to empirically distinguish between the two factors. The results indicate that fundamentals, as embedded in credit ratings, are very important, but that expectations of future U.S. interest rates and volatility in those expectations are also a key determinant of emerging market spreads. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2008/010 606 $aBonds$zDeveloping countries$xEconometric models 606 $aLiquidity (Economics)$xEconometric models 606 $aCredit ratings$zDeveloping countries$xEconometric models 606 $aBanks and Banking$2imf 606 $aFinance: General$2imf 606 $aInvestments: Futures$2imf 606 $aMoney and Monetary Policy$2imf 606 $aGeneral Financial Markets: General (includes Measurement and Data)$2imf 606 $aMonetary Policy, Central Banking, and the Supply of Money and Credit: General$2imf 606 $aInterest Rates: Determination, Term Structure, and Effects$2imf 606 $aPension Funds$2imf 606 $aNon-bank Financial Institutions$2imf 606 $aFinancial Instruments$2imf 606 $aInstitutional Investors$2imf 606 $aFinance$2imf 606 $aMonetary economics$2imf 606 $aEmerging and frontier financial markets$2imf 606 $aCredit ratings$2imf 606 $aYield curve$2imf 606 $aSecurities markets$2imf 606 $aFutures$2imf 606 $aFinancial services industry$2imf 606 $aInterest rates$2imf 606 $aCapital market$2imf 606 $aDerivative securities$2imf 607 $aUnited States$2imf 615 0$aBonds$xEconometric models. 615 0$aLiquidity (Economics)$xEconometric models. 615 0$aCredit ratings$xEconometric models. 615 7$aBanks and Banking 615 7$aFinance: General 615 7$aInvestments: Futures 615 7$aMoney and Monetary Policy 615 7$aGeneral Financial Markets: General (includes Measurement and Data) 615 7$aMonetary Policy, Central Banking, and the Supply of Money and Credit: General 615 7$aInterest Rates: Determination, Term Structure, and Effects 615 7$aPension Funds 615 7$aNon-bank Financial Institutions 615 7$aFinancial Instruments 615 7$aInstitutional Investors 615 7$aFinance 615 7$aMonetary economics 615 7$aEmerging and frontier financial markets 615 7$aCredit ratings 615 7$aYield curve 615 7$aSecurities markets 615 7$aFutures 615 7$aFinancial services industry 615 7$aInterest rates 615 7$aCapital market 615 7$aDerivative securities 700 $aKodres$b Laura$01462098 701 $aHartelius$b Kristian$01462099 701 $aKashiwase$b Kenichiro$01462100 712 02$aInternational Monetary Fund.$bMonetary and Capital Markets Dept. 801 0$bDcWaIMF 906 $aBOOK 912 $a9910788523003321 996 $aEmerging Market Spread Compression$93670951 997 $aUNINA