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Emerging market sovereign bond spreads [[electronic resource] ] : estimation and back-testing / / prepared by Fabio Comelli
Emerging market sovereign bond spreads [[electronic resource] ] : estimation and back-testing / / prepared by Fabio Comelli
Autore Comelli Fabio
Pubbl/distr/stampa Washington, DC, : International Monetary Fund, 2012
Descrizione fisica 1 online resource (44 p.)
Collana IMF working paper
Soggetto topico State bonds - Econometric models
Government securities - Econometric models
Soggetto genere / forma Electronic books.
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-9910461999003321
Comelli Fabio  
Washington, DC, : International Monetary Fund, 2012
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
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
Comelli Fabio  
Washington, D.C. : , : International Monetary Fund, , 2012
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
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
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-9910820534503321
Comelli Fabio  
Washington, D.C. : , : International Monetary Fund, , 2012
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui