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Bond Yields in Emerging Economies : : It Matters What State You Are In / / Laura Jaramillo, Anke Weber
| 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 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Bond Yields in Emerging Economies : : It Matters What State You Are In / / Laura Jaramillo, Anke Weber
| Bond Yields in Emerging Economies : : It Matters What State You Are In / / Laura Jaramillo, Anke Weber |
| Autore | Jaramillo Laura |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (26 p.) |
| Disciplina | 332.1/52 |
| Altri autori (Persone) | WeberAnke |
| Collana |
IMF Working Papers
IMF working paper |
| Soggetto topico |
Bonds
Investments - Developing countries Bond yields Capital market Debt Management Debt Debts, Public Emerging and frontier financial markets Finance Finance: General Financial institutions Financial Markets and the Macroeconomy Financial markets Financial services industry Fiscal Policy General Financial Markets: General (includes Measurement and Data) Government debt management International Financial Markets Investment & securities Investments: Bonds Public debt Public finance & taxation Public Finance Public financial management (PFM) Securities markets Sovereign Debt |
| 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-9910961753403321 |
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Jaramillo Laura
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| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Bulgaria : : Selected Issues Paper
| 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 Nationalization |
| ISBN |
9781475552508
1475552505 9781475552539 147555253X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910151744603321 |
| Washington, D.C. : , : International Monetary Fund, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Emerging Market Sovereign Bond Spreads : : Estimation and Back-testing / / Fabio Comelli
| 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 |
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Comelli Fabio
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||
| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Emerging Market Sovereign Bond Spreads : : Estimation and Back-testing / / Fabio Comelli
| Emerging Market Sovereign Bond Spreads : : Estimation and Back-testing / / Fabio Comelli |
| Autore | Comelli Fabio |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (44 p.) |
| Disciplina | 332.1/52 |
| Collana | IMF Working Papers |
| Soggetto topico |
State bonds - Econometric models
Government securities - Econometric models Banks and Banking Bond yields Bonds Capital market Emerging and frontier financial markets Finance Finance: General Financial Forecasting and Simulation Financial institutions Financial markets Financial services industry Financial services General Financial Markets: General (includes Measurement and Data) Interest rates Interest Rates: Determination, Term Structure, and Effects International Finance Forecasting and Simulation Investment & securities Investments: Bonds Securities markets Sovereign bonds Yield curve |
| ISBN |
9781475510379
1475510373 9781475514315 147551431X |
| 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-9910971226803321 |
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Comelli Fabio
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| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Euro Area Monetary Policy in Uncharted Waters / / Emil Stavrev, Thomas Harjes, Martin Cihak
| 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 |
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Stavrev Emil
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| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Euro Area Monetary Policy in Uncharted Waters / / Emil Stavrev, Thomas Harjes, Martin Cihak
| Euro Area Monetary Policy in Uncharted Waters / / Emil Stavrev, Thomas Harjes, Martin Cihak |
| Autore | Stavrev Emil |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 34 p. : ill |
| Disciplina | 332.4;332.494 |
| Altri autori (Persone) |
CihakMartin
HarjesThomas |
| 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 Banking Banks and Banking Banks and banking Banks Bond yields Bonds Central bank policy rate Depository Institutions Economic & financial crises & disasters Finance Financial Crises Financial crises Financial Risk Management General Financial Markets: General (includes Measurement and Data) Interest rates Interest Rates: Determination, Term Structure, and Effects Investment & securities Investments: Bonds Micro Finance Institutions Mortgages Yield curve |
| ISBN |
9786612843952
9781462315406 1462315402 9781451873320 1451873328 9781452752082 1452752087 9781282843950 1282843958 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Intro -- Contents -- I. Introduction -- II. ECB's Policy Response to the Crisis -- III. Has the Transmission Been Impaired? -- A. Transmission Channels -- B. Methodology -- C. Results -- IV. Monetary Policy and The Return of The Liquidity Trap -- A. Overview -- B. Empirical Assessment -- V. Conclusions -- References -- Tables -- 1. VAR Parameter Estimates -- 2. Risk Factor Loadings -- Figures -- 1. Euro Area: Recent Developments of the ECB's Liquidity Operations -- 2. Euro Area: Cost of Borrowing by Businesses and Households -- 3. Euro Area: Pass-through of The ECB Policy Rate Changes to Market Rates -- 4. Euro Area: The Impact of Crisis on Policy Rate Pass-through -- 5. Euro Area: VAR Residuals of Market Rates -- 6. Euro Area: Effectiveness of Monetary Policy -- 7. Euro Area Macro-Financial Model: Government Bond Yields and Model -- Appendix -- I. Small Theory-based Model for the Euro Area. |
| Record Nr. | UNINA-9910969846403321 |
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Stavrev Emil
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| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| 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
| 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 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The External Financing of Emerging Market Countries : : Evidence from Two Waves of Financial Globalization / / Aleksandar Zaklan, Paolo Mauro, Martín Minnoni, Andre Faria
| 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 |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (50 p.) |
| Altri autori (Persone) |
FariaAndre
MauroPaolo MinnoniMartín |
| Collana | IMF Working Papers |
| Soggetto topico |
Investments, Foreign - Developing countries
Capital movements - Developing countries Banks and Banking Bond yields Bonds Demographic Economics: General Demography Emerging and frontier financial markets Finance Finance: General Financial Instruments Financial services industry General Financial Markets: General (includes Measurement and Data) Institutional Investors Interest rates Interest Rates: Determination, Term Structure, and Effects Investment & securities Investments: Bonds Investments: Stocks Non-bank Financial Institutions Pension Funds Population & demography Population and demographics Population Stocks Yield curve |
| ISBN |
9786613827753
9781462386123 1462386121 9781451986327 1451986327 9781283515306 128351530X 9781451993981 1451993986 |
| 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-9910955022103321 |
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Zaklan Aleksandar
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| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial Information and Macroeconomic Forecasts / / Sophia Chen, Romain Ranciere
| 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 |
9781475567687
1475567685 9781475567700 1475567707 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910162944303321 |
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Chen Sophia
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| Washington, D.C. : , : International Monetary Fund, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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