Bond Yields in Emerging Economies : : It Matters What State You Are In / / Laura Jaramillo, Anke Weber |
Autore | Jaramillo Laura |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
Descrizione fisica | 1 online resource (26 p.) |
Altri autori (Persone) | WeberAnke |
Collana |
IMF Working Papers
IMF working paper |
Soggetto topico |
Bonds
Investments - Developing countries Finance: General Investments: Bonds Public Finance Financial Markets and the Macroeconomy Fiscal Policy International Financial Markets Debt Debt Management Sovereign Debt General Financial Markets: General (includes Measurement and Data) Investment & securities Public finance & taxation Finance Bond yields Government debt management Emerging and frontier financial markets Public debt Securities markets Financial institutions Public financial management (PFM) Financial markets Debts, Public Financial services industry Capital market |
ISBN |
1-4755-1103-5
1-4755-3136-2 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
Cover; Abstract; Contents; I. Introduction; II. Background and Literature Review; III. Stylized Facts; Figures; 1. Emerging Economies: Government Debt; 2. Emerging Economies: Domestic Government Debt Securities; 3. Emerging Market Fund Assets; 4. Sovereign Domestic Bond Yields; 5. Sovereign Domestic Bond Yields and Global Factors; 6. Domestic Bond Yields and Fiscal Fundamentals, 2007-2011; IV. Empirical Model Specification; V. Data and Estimation Results; A. Data Sources; B. Estimation Results; Tables; 1. Descriptive Statistics
2. Determinants of 10-year Domestic Bond Yields in Emerging Economies3. Threshold Model: Determinants of 10-year Domestic Bond Yields in Emerging Economies; VI. Summary and Conclusions; 7. Actual Change in Bond Yields Compared to Out-of-Sample Prediction; Appendix; References |
Record Nr. | UNINA-9910786484803321 |
Jaramillo Laura
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Washington, D.C. : , : International Monetary Fund, , 2012 | ||
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Lo trovi qui: Univ. Federico II | ||
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Bulgaria : : Selected Issues Paper |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2016 |
Descrizione fisica | 1 online resource (67 pages) : illustrations, tables |
Disciplina | 332.152 |
Collana | IMF Staff Country Reports |
Soggetto topico |
International Monetary Fund
International Monetary Fund - Bulgaria Government business enterprises - Bulgaria Finance: General Investments: Bonds Macroeconomics Public Finance Demography Bankruptcy Liquidation Economics of the Elderly Economics of the Handicapped Non-labor Market Discrimination Nonprofit Organizations and Public Enterprise: General General Financial Markets: General (includes Measurement and Data) Demographic Economics: General Finance Population & demography Pensions Investment & securities Public ownership nationalization Solvency Aging Public enterprises Bond yields Population and demographics Financial sector policy and analysis Economic sectors Financial institutions Debt Population aging Government business enterprises Bonds |
ISBN |
1-4755-5250-5
1-4755-5253-X |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Record Nr. | UNINA-9910151744603321 |
Washington, D.C. : , : International Monetary Fund, , 2016 | ||
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Lo trovi qui: Univ. Federico II | ||
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Emerging Market Sovereign Bond Spreads : : Estimation and Back-testing / / Fabio Comelli |
Autore | Comelli Fabio |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
Descrizione fisica | 1 online resource (44 p.) |
Collana | IMF Working Papers |
Soggetto topico |
State bonds - Econometric models
Government securities - Econometric models Banks and Banking Finance: General Investments: Bonds International Finance Forecasting and Simulation Financial Forecasting and Simulation Interest Rates: Determination, Term Structure, and Effects General Financial Markets: General (includes Measurement and Data) Finance Investment & securities Yield curve Sovereign bonds Emerging and frontier financial markets Bond yields Securities markets Financial services Financial institutions Financial markets Interest rates Bonds Financial services industry Capital market |
ISBN |
1-4755-1037-3
1-4755-1431-X |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
Cover; 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?
Table 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) Panel 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 Table 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 Panel 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 |
Record Nr. | UNINA-9910786480703321 |
Comelli Fabio
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Washington, D.C. : , : International Monetary Fund, , 2012 | ||
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Lo trovi qui: Univ. Federico II | ||
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Euro Area Monetary Policy in Uncharted Waters / / Emil Stavrev, Thomas Harjes, Martin Cihak |
Autore | Stavrev Emil |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
Descrizione fisica | 34 p. : ill |
Altri autori (Persone) |
HarjesThomas
CihakMartin |
Collana | IMF Working Papers |
Soggetto topico |
Monetary policy - European Union countries - Econometric models
Global Financial Crisis, 2008-2009 Financial crises - European Union countries - Econometric models Banks and banking, Central - European Union countries - Econometric models Banks and Banking Financial Risk Management Investments: Bonds Interest Rates: Determination, Term Structure, and Effects General Financial Markets: General (includes Measurement and Data) Banks Depository Institutions Micro Finance Institutions Mortgages Financial Crises Banking Finance Investment & securities Economic & financial crises & disasters Yield curve Central bank policy rate Bond yields Financial crises Interest rates Bonds Banks and banking |
ISBN |
1-4623-1540-2
1-4518-7332-8 9786612843952 1-4527-5208-7 1-282-84395-8 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Record Nr. | UNINA-9910788228103321 |
Stavrev Emil
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Washington, D.C. : , : International Monetary Fund, , 2009 | ||
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Lo trovi qui: Univ. Federico II | ||
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The External Financing of Emerging Market Countries : : Evidence from Two Waves of Financial Globalization / / Aleksandar Zaklan, Paolo Mauro, Martín Minnoni, Andre Faria |
Autore | Zaklan Aleksandar |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
Descrizione fisica | 1 online resource (50 p.) |
Altri autori (Persone) |
MauroPaolo
MinnoniMartín FariaAndre |
Collana | IMF Working Papers |
Soggetto topico |
Investments, Foreign - Developing countries
Capital movements - Developing countries Banks and Banking Finance: General Investments: Bonds Investments: Stocks Demography General Financial Markets: General (includes Measurement and Data) Demographic Economics: General Interest Rates: Determination, Term Structure, and Effects Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Investment & securities Finance Population & demography Population and demographics Bond yields Yield curve Emerging and frontier financial markets Stocks Population Bonds Interest rates Financial services industry |
ISBN |
1-4623-8612-1
1-4519-8632-7 1-283-51530-X 1-4519-9398-6 9786613827753 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | ""Contents""; ""I. MOTIVATION""; ""II. METHODOLOGY, EMPIRICAL ANALYSIS, AND RESULTS""; ""III. INTERPRETATION AND CONCLUSIONS""; ""APPENDIX: DATA DESCRIPTION""; ""REFERENCES"" |
Record Nr. | UNINA-9910788405003321 |
Zaklan Aleksandar
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Washington, D.C. : , : International Monetary Fund, , 2006 | ||
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Lo trovi qui: Univ. Federico II | ||
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Financial Information and Macroeconomic Forecasts / / Sophia Chen, Romain Ranciere |
Autore | Chen Sophia |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2016 |
Descrizione fisica | 1 online resource (34 pages) : illustrations, tables |
Disciplina | 330.0112 |
Altri autori (Persone) | RanciereRomain |
Collana | IMF Working Papers |
Soggetto topico |
Economic forecasting
Economic indicators Credit Banks and Banking Macroeconomics Money and Monetary Policy Real Estate Investments: Bonds Forecasting and Other Model Applications Financial Markets and the Macroeconomy Money and Interest Rates: Forecasting and Simulation Price Level Inflation Deflation Housing Supply and Markets Interest Rates: Determination, Term Structure, and Effects Monetary Policy, Central Banking, and the Supply of Money and Credit: General Macroeconomics: Consumption Saving Wealth General Financial Markets: General (includes Measurement and Data) Property & real estate Finance Monetary economics Investment & securities Asset prices Housing prices Yield curve Government consumption Prices Bond yields Financial institutions Money National accounts Housing Interest rates Consumption Economics Bonds |
ISBN |
1-4755-6768-5
1-4755-6770-7 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Record Nr. | UNINA-9910162944303321 |
Chen Sophia
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Washington, D.C. : , : International Monetary Fund, , 2016 | ||
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Lo trovi qui: Univ. Federico II | ||
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Financial Shocks and TFP L4318Growth / / Tiago Severo, Marcello Estevão |
Autore | Severo Tiago |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2010 |
Descrizione fisica | 24 p. : ill |
Altri autori (Persone) | EstevãoMarcello |
Collana | IMF Working Papers |
Soggetto topico |
Business cycles
Industrial productivity Financial crises Investments: Bonds Production and Operations Management Macroeconomics: Production Business Fluctuations Cycles Financial Markets and the Macroeconomy Production Cost Capital and Total Factor Productivity Capacity General Financial Markets: General (includes Measurement and Data) Employment Unemployment Wages Intergenerational Income Distribution Aggregate Human Capital Aggregate Labor Productivity Macroeconomics Investment & securities Total factor productivity Corporate bonds Productivity Capital productivity Bond yields Financial institutions Bonds |
ISBN |
1-4623-8299-1
9786612845314 1-282-84531-4 1-4519-6237-1 1-4527-7426-9 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Record Nr. | UNINA-9910788310603321 |
Severo Tiago
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Washington, D.C. : , : International Monetary Fund, , 2010 | ||
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Lo trovi qui: Univ. Federico II | ||
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Government Bonds and their Investors : : What Are the Facts and Do they Matter? / / Jochen Andritzky |
Autore | Andritzky Jochen |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
Descrizione fisica | 1 online resource (32 p.) |
Collana | IMF Working Papers |
Soggetto topico |
Government securities
Securities Investments: General Investments: Bonds Public Finance Portfolio Choice Investment Decisions Debt Debt Management Sovereign Debt General Financial Markets: General (includes Measurement and Data) Investment & securities Public finance & taxation Sovereign bonds Public debt Bonds Financial institutions Bond yields Financial instruments Debts, Public |
ISBN |
1-4755-9432-1
1-4755-7005-8 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | Cover; Contents; I. Introduction; II. The Dataset; III. What are the Facts?; IV. Does the Investor Base Matter?; A. Background; B. How Is the Investor Base Related to Yields?; C. Do Portfolio Shifts Affect Expected Bond Returns?; V. Conclusions; References |
Record Nr. | UNINA-9910785526303321 |
Andritzky Jochen
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Washington, D.C. : , : International Monetary Fund, , 2012 | ||
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Lo trovi qui: Univ. Federico II | ||
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Long-Run and Short-Run Determinants of Sovereign Bond Yields in Advanced Economies / / Tigran Poghosyan |
Autore | Poghosyan Tigran |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
Descrizione fisica | 1 online resource (27 p.) |
Collana |
IMF Working Papers
IMF working paper |
Soggetto topico |
Government securities - Econometric models
Rate of return - Econometric models Cointegration Banks and Banking Investments: Bonds Macroeconomics Public Finance 'Panel Data Models Spatio-temporal Models' Interest Rates: Determination, Term Structure, and Effects General Financial Markets: General (includes Measurement and Data) Debt Debt Management Sovereign Debt Fiscal Policy Investment & securities Finance Public finance & taxation Bond yields Yield curve Sovereign bonds Public debt Fiscal stance Financial institutions Financial services Fiscal policy Bonds Interest rates Debts, Public |
ISBN |
1-4755-7979-9
1-4755-4279-8 1-283-94768-4 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
Cover; Contents; I. Introduction; II. Determinants of Sovereign Bond Yields: Review of Existing Studies; A. Theoretical Considerations; B. Empirical Evidence; III. Empirical Methodology and Data; A. Empirical Methodology; B. Data; IV. Estimation Results; A. Baseline Specification; B. Robustness Checks; C. Are Financial Markets "Overreacting"?; V. Conclusions; References; Tables; 1. Description of Variables and their Sources; 2. Descriptive Statistics; 3. Panel Unit Root Tests; 4. Baseline Regressions; 5. Robustness Checks; Figures
1. Selected Euro area Economies: Real 10-Year Sovereign Bond Yields2. Selected Euro Area Economies: Debt-to-GDP Ratio; 3. Selected Euro Area Economies: Comparison of Predicted and Actual Long-Run Real Bond Spreads vis-à-vis Germany (first half of 2012); 4. Selected Euro Area Economies: Comparison of Predicted and Actual Long-Run Real Bond Spreads vis-à-vis Germany (1999-2009, average) |
Record Nr. | UNINA-9910779591503321 |
Poghosyan Tigran
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Washington, D.C. : , : International Monetary Fund, , 2012 | ||
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Lo trovi qui: Univ. Federico II | ||
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Long-Run and Short-Run Determinants of Sovereign Bond Yields in Advanced Economies / / Tigran Poghosyan |
Autore | Poghosyan Tigran |
Edizione | [1st ed.] |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
Descrizione fisica | 1 online resource (27 p.) |
Disciplina | 338.29102 |
Collana |
IMF Working Papers
IMF working paper |
Soggetto topico |
Government securities - Econometric models
Rate of return - Econometric models Cointegration Banks and Banking Investments: Bonds Macroeconomics Public Finance 'Panel Data Models Spatio-temporal Models' Interest Rates: Determination, Term Structure, and Effects General Financial Markets: General (includes Measurement and Data) Debt Debt Management Sovereign Debt Fiscal Policy Investment & securities Finance Public finance & taxation Bond yields Yield curve Sovereign bonds Public debt Fiscal stance Financial institutions Financial services Fiscal policy Bonds Interest rates Debts, Public |
ISBN |
1-4755-7979-9
1-4755-4279-8 1-283-94768-4 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
Cover; Contents; I. Introduction; II. Determinants of Sovereign Bond Yields: Review of Existing Studies; A. Theoretical Considerations; B. Empirical Evidence; III. Empirical Methodology and Data; A. Empirical Methodology; B. Data; IV. Estimation Results; A. Baseline Specification; B. Robustness Checks; C. Are Financial Markets "Overreacting"?; V. Conclusions; References; Tables; 1. Description of Variables and their Sources; 2. Descriptive Statistics; 3. Panel Unit Root Tests; 4. Baseline Regressions; 5. Robustness Checks; Figures
1. Selected Euro area Economies: Real 10-Year Sovereign Bond Yields2. Selected Euro Area Economies: Debt-to-GDP Ratio; 3. Selected Euro Area Economies: Comparison of Predicted and Actual Long-Run Real Bond Spreads vis-à-vis Germany (first half of 2012); 4. Selected Euro Area Economies: Comparison of Predicted and Actual Long-Run Real Bond Spreads vis-à-vis Germany (1999-2009, average) |
Record Nr. | UNINA-9910810606903321 |
Poghosyan Tigran
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Washington, D.C. : , : International Monetary Fund, , 2012 | ||
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Lo trovi qui: Univ. Federico II | ||
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