LEADER 06338oam 22012854 450 001 9910959813703321 005 20250426110809.0 010 $a9786613820969 010 $a9781462323524 010 $a1462323529 010 $a9781452766249 010 $a145276624X 010 $a9781282447738 010 $a1282447734 010 $a9781451913255 010 $a1451913257 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(IMF)WPIEE2008010 035 $a(MiAaPQ)EBC1607689 035 $a(IMF)WPIEA2008010 035 $aWPIEA2008010 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 205 $a1st ed. 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2008. 215 $a1 online resource (38 p.) 225 1 $aIMF Working Papers 300 $a"January 2008." 311 08$a9781451868722 311 08$a1451868723 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 $aCapital market$2imf 606 $aCredit ratings$2imf 606 $aDerivative securities$2imf 606 $aEmerging and frontier financial markets$2imf 606 $aFinance$2imf 606 $aFinance: General$2imf 606 $aFinancial Instruments$2imf 606 $aFinancial services industry$2imf 606 $aFutures$2imf 606 $aGeneral Financial Markets: General (includes Measurement and Data)$2imf 606 $aInstitutional Investors$2imf 606 $aInterest rates$2imf 606 $aInterest Rates: Determination, Term Structure, and Effects$2imf 606 $aInvestments: Futures$2imf 606 $aMonetary economics$2imf 606 $aMonetary Policy, Central Banking, and the Supply of Money and Credit: General$2imf 606 $aMoney and Monetary Policy$2imf 606 $aNon-bank Financial Institutions$2imf 606 $aPension Funds$2imf 606 $aSecurities markets$2imf 606 $aYield curve$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$aCapital market 615 7$aCredit ratings 615 7$aDerivative securities 615 7$aEmerging and frontier financial markets 615 7$aFinance 615 7$aFinance: General 615 7$aFinancial Instruments 615 7$aFinancial services industry 615 7$aFutures 615 7$aGeneral Financial Markets: General (includes Measurement and Data) 615 7$aInstitutional Investors 615 7$aInterest rates 615 7$aInterest Rates: Determination, Term Structure, and Effects 615 7$aInvestments: Futures 615 7$aMonetary economics 615 7$aMonetary Policy, Central Banking, and the Supply of Money and Credit: General 615 7$aMoney and Monetary Policy 615 7$aNon-bank Financial Institutions 615 7$aPension Funds 615 7$aSecurities markets 615 7$aYield curve 676 $a338.2357 700 $aKodres$b Laura$01815820 701 $aHartelius$b Kristian$01815821 701 $aKashiwase$b Kenichiro$01815786 712 02$aInternational Monetary Fund.$bMonetary and Capital Markets Dept. 801 0$bDcWaIMF 906 $aBOOK 912 $a9910959813703321 996 $aEmerging Market Spread Compression$94371352 997 $aUNINA