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Emerging market spread compression [[electronic resource] ] : is it real or is it liquidity? / / prepared by Kristian Hartelius, Kenichiro Kashiwase, and Laura E. Kodres
| Emerging market spread compression [[electronic resource] ] : is it real or is it liquidity? / / prepared by Kristian Hartelius, Kenichiro Kashiwase, and Laura E. Kodres |
| Autore | Hartelius Kristian |
| Pubbl/distr/stampa | Washington, D.C., : International Monetary Fund, Monetary and Capital Markets Dept., 2008 |
| Descrizione fisica | 1 online resource (38 p.) |
| Altri autori (Persone) |
KashiwaseKenichiro
KodresLaura E |
| Collana | IMF working paper |
| Soggetto topico |
Bonds - Developing countries - Econometric models
Liquidity (Economics) - Econometric models Credit ratings - Developing countries - Econometric models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4623-2352-9
1-4527-6624-X 1-282-44773-4 1-4519-1325-7 9786613820969 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; 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
Construction of the Total Credit Rating-Outlook Index (CROI)4. Average vis-à-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-à-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 6. 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 |
| Record Nr. | UNINA-9910464840003321 |
Hartelius Kristian
|
||
| Washington, D.C., : International Monetary Fund, Monetary and Capital Markets Dept., 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Emerging Market Spread Compression : : Is it Real or is it Liquidity? / / Laura Kodres, Kristian Hartelius, Kenichiro Kashiwase
| Emerging Market Spread Compression : : Is it Real or is it Liquidity? / / Laura Kodres, Kristian Hartelius, Kenichiro Kashiwase |
| Autore | Kodres Laura |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2008 |
| Descrizione fisica | 1 online resource (38 p.) |
| Altri autori (Persone) |
HarteliusKristian
KashiwaseKenichiro |
| Collana | IMF Working Papers |
| Soggetto topico |
Bonds - Developing countries - Econometric models
Liquidity (Economics) - Econometric models Credit ratings - Developing countries - Econometric models Banks and Banking Finance: General Investments: Futures Money and Monetary Policy General Financial Markets: General (includes Measurement and Data) Monetary Policy, Central Banking, and the Supply of Money and Credit: General Interest Rates: Determination, Term Structure, and Effects Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Finance Monetary economics Emerging and frontier financial markets Credit ratings Yield curve Securities markets Futures Financial services industry Interest rates Capital market Derivative securities |
| ISBN |
1-4623-2352-9
1-4527-6624-X 1-282-44773-4 1-4519-1325-7 9786613820969 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; 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
Construction of the Total Credit Rating-Outlook Index (CROI)4. Average vis-à-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-à-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 6. 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 |
| Record Nr. | UNINA-9910788523003321 |
|
Kodres Laura
|
||
| Washington, D.C. : , : International Monetary Fund, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Emerging Market Spread Compression : : Is it Real or is it Liquidity? / / Laura Kodres, Kristian Hartelius, Kenichiro Kashiwase
| Emerging Market Spread Compression : : Is it Real or is it Liquidity? / / Laura Kodres, Kristian Hartelius, Kenichiro Kashiwase |
| Autore | Kodres Laura |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2008 |
| Descrizione fisica | 1 online resource (38 p.) |
| Disciplina | 338.2357 |
| Altri autori (Persone) |
HarteliusKristian
KashiwaseKenichiro |
| Collana | IMF Working Papers |
| Soggetto topico |
Bonds - Developing countries - Econometric models
Liquidity (Economics) - Econometric models Credit ratings - Developing countries - Econometric models Banks and Banking Capital market Credit ratings Derivative securities Emerging and frontier financial markets Finance Finance: General Financial Instruments Financial services industry Futures General Financial Markets: General (includes Measurement and Data) Institutional Investors Interest rates Interest Rates: Determination, Term Structure, and Effects Investments: Futures Monetary economics Monetary Policy, Central Banking, and the Supply of Money and Credit: General Money and Monetary Policy Non-bank Financial Institutions Pension Funds Securities markets Yield curve |
| ISBN |
1-4623-2352-9
1-4527-6624-X 1-282-44773-4 1-4519-1325-7 9786613820969 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; 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
Construction of the Total Credit Rating-Outlook Index (CROI)4. Average vis-à-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-à-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 6. 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 |
| Record Nr. | UNINA-9910819870103321 |
|
Kodres Laura
|
||
| Washington, D.C. : , : International Monetary Fund, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
