The Sensitivity of Secondary Sovereign Loan Market Returns to Macroeconomlc Fundamentals.
The sensitivity of secondary sovereign loan market returns to three classes of economic news is estimated in the arbitrage pricing theory framework. Returns are characterized by a limited response to unexpected changes in procyclical U.S. aggregates. Shocks to country-specific balance of payment ind...
| Collectivité auteur: | |
|---|---|
| Format: | Revue |
| Langue: | English |
| Publié: |
Washington, D.C. :
International Monetary Fund,
1990.
|
| Collection: | IMF Working Papers; Working Paper ;
No. 1990/055 |
| Accès en ligne: | Full text available on IMF |