LEADER 07269oam 22011534 450 001 9910820534503321 005 20240402045534.0 010 $a1-4755-1037-3 010 $a1-4755-1431-X 035 $a(CKB)2670000000278836 035 $a(EBL)1606956 035 $a(SSID)ssj0000949447 035 $a(PQKBManifestationID)11958267 035 $a(PQKBTitleCode)TC0000949447 035 $a(PQKBWorkID)11014320 035 $a(PQKB)11314871 035 $a(MiAaPQ)EBC1606956 035 $a(Au-PeEL)EBL1606956 035 $a(CaPaEBR)ebr10627057 035 $a(OCoLC)870244999 035 $a(IMF)WPIEE2012212 035 $a(IMF)WPIEA2012212 035 $a(EXLCZ)992670000000278836 100 $a20020129d2012 uf 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aEmerging Market Sovereign Bond Spreads : $eEstimation and Back-testing /$fFabio Comelli 205 $a1st ed. 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2012. 215 $a1 online resource (44 p.) 225 1 $aIMF Working Papers 300 $aDescription based upon print version of record. 311 $a1-4755-4252-6 311 $a1-4755-0562-0 320 $aIncludes bibliographical references. 327 $aCover; Contents; I. Introduction; II. Literature; III. The data; A. Emerging Market Sovereign Bond Spreads Data; B. Pull Factors Data; Political Risk Rating (PRR); Economic Risk Rating (ERR); Financial Risk Rating (FRR); C. Push Factors Data; IV. The Model; V. Regression Results; A. Baseline regression; B. Global Abundant Liquidity and Global Financial Crisis; Tables; Table 1. Sovereign Bond Spreads: Coefficient Estimates, All Emerging Market Economies; C. Regional Subgroups; D. How Do Fitted Bond Spreads Compare With Actual Bond Spreads? 327 $aTable 2. Sovereign Bond Spreads: Coefficient Estimates Across EM Regions.Figures; Panel 1. Actual and Fitted Sovereign Bond Spreads (basis points); Panel 2. Actual and Fitted Sovereign Bond Spreads: (basis points); E. Robustness Checks; Table 3. Sovereign Bond Spreads: Coefficient Estimates, Robustness Checks; Panel 3. Actual and Fitted Sovereign Bond Spreads (Basis points); F. Simulating an Improvement in Country-specific Variables on Bond Spreads; Table 4. Impact of one-standard deviation change on the model spread (Percent) 327 $aPanel 4. Impact on the Model Spread Provoked by a One-standard Deviation ChangeVI. Back-testing the Model; A. Linear Prediction Method; B. Rolling Regression Method; Table 5. Probabilities that the linear prediction method correctly predicts (i) the; Table 6. Probabilities that the rolling regression (RR1) method correctly predicts; C. Comparing Competing Forecasts; Table 7. Measuring the accuracy of bond spread forecasts with the Diebold-Mariano; VII. Concluding Remarks; References; Appendixes; A. Tables; Appendix Tables 327 $aTable A1. Probabilities that the rolling regression (RR2) method correctly predictsTable A2. Comparing rolling regression and linear prediction forecasts with the Diebold- Mariano test; Table A3. Mean Square Error, Mean Absolute Error and Theil's U Statistics for the rolling regression (RR1) method; Table A4. Mean Square Error, Mean Absolute Error and Theil's U Statistics for the rolling regression (RR2) method; B. Charts; Panel A1. Emerging Market Sovereign Bond Spreads: Actual, Fitted and Residuals; Panel A2: Emerging Markets Sovereign Bond Spread Tracker: January 1998 - December 2001 327 $aPanel A3: Emerging Markets Sovereign Bond Spread Tracker: January 2002 - December 2005Panel A4: Emerging Markets Sovereign Bond Spread Tracker: January 2006 - December 2009; Panel A5: Emerging Markets Sovereign Bond Spread Tracker: January 2010 - December 2011 330 3 $aWe estimate sovereign bond spreads of 28 emerging economies over the period January 1998-December 2011 and test the ability of the model in generating accurate in-sample predictions for emerging economies bond spreads. The impact and significance of country-specific and global explanatory variables on bond spreads varies across regions, as well as economic periods. During crisis times, good macroeconomic fundamentals are helpful in containing bond spreads, but less than in non-crisis times, possibly reflecting the impact of extra-economic forces on bond spreads when a financial crisis occurs. For some emerging economies, in-sample predictions of the monthly changes in bond spreads obtained with rolling regression routines are significantly more accurate than forecasts obtained with a random walk. Rolling regression-based bond spread predictions appear to convey more information than those obtained with a linear prediction method. By contrast, bond spreads forecasts obtained with a linear prediction method are less accurate than those obtained with random guessing. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2012/212 606 $aState bonds$xEconometric models 606 $aGovernment securities$xEconometric models 606 $aBanks and Banking$2imf 606 $aFinance: General$2imf 606 $aInvestments: Bonds$2imf 606 $aInternational Finance Forecasting and Simulation$2imf 606 $aFinancial Forecasting and Simulation$2imf 606 $aInterest Rates: Determination, Term Structure, and Effects$2imf 606 $aGeneral Financial Markets: General (includes Measurement and Data)$2imf 606 $aFinance$2imf 606 $aInvestment & securities$2imf 606 $aYield curve$2imf 606 $aSovereign bonds$2imf 606 $aEmerging and frontier financial markets$2imf 606 $aBond yields$2imf 606 $aSecurities markets$2imf 606 $aFinancial services$2imf 606 $aFinancial institutions$2imf 606 $aFinancial markets$2imf 606 $aInterest rates$2imf 606 $aBonds$2imf 606 $aFinancial services industry$2imf 606 $aCapital market$2imf 607 $aUnited States$2imf 615 0$aState bonds$xEconometric models. 615 0$aGovernment securities$xEconometric models. 615 7$aBanks and Banking 615 7$aFinance: General 615 7$aInvestments: Bonds 615 7$aInternational Finance Forecasting and Simulation 615 7$aFinancial Forecasting and Simulation 615 7$aInterest Rates: Determination, Term Structure, and Effects 615 7$aGeneral Financial Markets: General (includes Measurement and Data) 615 7$aFinance 615 7$aInvestment & securities 615 7$aYield curve 615 7$aSovereign bonds 615 7$aEmerging and frontier financial markets 615 7$aBond yields 615 7$aSecurities markets 615 7$aFinancial services 615 7$aFinancial institutions 615 7$aFinancial markets 615 7$aInterest rates 615 7$aBonds 615 7$aFinancial services industry 615 7$aCapital market 676 $a332.1/52 700 $aComelli$b Fabio$01082917 801 0$bDcWaIMF 906 $aBOOK 912 $a9910820534503321 996 $aEmerging Market Sovereign Bond Spreads$94110856 997 $aUNINA