Emerging Market Sovereign Bond Spreads : Estimation and Back-testing /

Emerging Market Sovereign Bond Spreads : Estimation and Back-testing /

We estimate sovereign bond spreads of 28 emerging economies over the period January 1998-December 2011 and test the ability of the model in generating accurate in-sample predictions for emerging economies bond spreads. The impact and significance of country-specific and global explanatory variables...

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Bibliografiske detaljer
Hovedforfatter:	Comelli, Fabio
Format:	Tidsskrift
Sprog:	English
Udgivet:	Washington, D.C. : International Monetary Fund, 2012.
Serier:	IMF Working Papers; Working Paper ; No. 2012/212
Online adgang:	Full text available on IMF

Lignende værker

Determinants of Emerging Market Sovereign Bond Spreads : Fundamentals vs Financial Stress /
af: Petrova, Iva
Udgivet: (2010)

Resource Windfalls and Emerging Market Sovereign Bond Spreads : The Role of Political Institutions /
af: Arezki, Rabah
Udgivet: (2010)

Determinants of Sovereign Bond Spreads in Emerging Markets : Local Fundamentals and Global Factors vs. Ever-Changing Misalignments /
af: Csonto, Balazs
Udgivet: (2013)

Emerging Market Bond Spreads and Sovereign Credit Ratings : Reconciling Market Views with Economic Fundamentals /
af: Sy, Amadou
Udgivet: (2001)

The Effects of Data Transparency Policy Reforms on Emerging Market Sovereign Bond Spreads /
af: Choi, Sangyup
Udgivet: (2017)

Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries /
af: Yue, Zhanwei
Udgivet: (2004)

International Sovereign Bonds by Emerging Markets and Developing Economies : Drivers of Issuance and Spreads /
af: Presbitero, Andrea
Udgivet: (2015)

On International Integration of Emerging Sovereign Bond Markets /
af: Agur, Itai
Udgivet: (2018)

Sovereign Credit Ratings and Spreads in Emerging Markets : Does Investment Grade Matter? /
af: Jaramillo, Laura
Udgivet: (2011)

Sovereign Spreads : Global Risk Aversion, Contagion or Fundamentals? /
af: Segoviano, Miguel
Udgivet: (2010)

Global Financial Spillovers to Emerging Market Sovereign Bond Markets /
af: Ebeke, Christian
Udgivet: (2015)

Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets /
af: Chan-Lau, Jorge
Udgivet: (2004)

Sovereign Spreads and Contagion Risks in Asia /
af: Unsal, Filiz
Udgivet: (2011)

Italian Sovereign Spreads : Their Determinants and Pass-through to Bank Funding Costs and Lending Conditions /
af: Zoli, Edda
Udgivet: (2013)

Emerging Market Spreads : Then Versus Now /
af: Yafeh, Yishay
Udgivet: (2000)

Sovereign Bond Restructuring : Collective Action Clauses and official Crisis Intervention /
af: Kletzer, Kenneth
Udgivet: (2003)

Sovereign Bond Prices, Haircuts and Maturity /
af: Asonuma, Tamon
Udgivet: (2017)

How do Experts Forecast Sovereign Spreads? /
af: Cimadomo, Jacopo
Udgivet: (2016)

Do Multi-Sector Bond Funds Pose Risks to Emerging Markets? /
af: Cortes, Fabio
Udgivet: (2020)

Issuing International Sovereign Bonds : Opportunities and Challenges for Sub-Saharan Africa /
af: Mecagni, Mauro
Udgivet: (2014)

Sovereign CDS Spreads in Europe : The Role of Global Risk Aversion, Economic Fundamentals, Liquidity, and Spillovers /
af: Heinz, Frigyes
Udgivet: (2014)

Emerging Market Spread Compression : Is it Real or is it Liquidity? /
af: Kodres, Laura
Udgivet: (2008)

Real Money Investors and Sovereign Bond Yields /
af: Jaramillo, Laura
Udgivet: (2013)

On the Determinants of First-Time Sovereign Bond Issues /
af: Grigorian, David
Udgivet: (2003)

Multi-Sector Bond Funds in Emerging Markets-Easy Come, Easy Go /
af: Cortes, Fabio
Udgivet: (2021)

Spatial Spillovers in Emerging Market Spreads /
af: Dell'Erba, Salvatore
Udgivet: (2011)

Comparing Parametric and Non-parametric Early Warning Systems for Currency Crises in Emerging Market Economies /
af: Comelli, Fabio
Udgivet: (2013)

Comparing the Performance of Logit and Probit Early Warning Systems for Currency Crises in Emerging Market Economies /
af: Comelli, Fabio
Udgivet: (2014)

Estimation and out-of-sample Prediction of Sudden Stops : Do Regions of Emerging Markets Behave Differently from Each Other? /
af: Comelli, Fabio
Udgivet: (2015)

Fiscal Deficits, Public Debt, and Sovereign Bond Yields /
af: Kumar, Manmohan
Udgivet: (2010)

Strategic Considerations for First-Time Sovereign Bond Issuers /
af: Polan, Magdalena
Udgivet: (2008)

Collective Action Clauses in Sovereign Bond Contracts : Encouraging Greater Use.
Udgivet: (2002)

Long-Term Returns in Distressed Sovereign Bond Markets : How Did Investors Fare? /
af: Andritzky, Jochen
Udgivet: (2019)

Correlations in Emerging Market Bonds : The Role of Local and Global Factors /
af: Hamann, A.
Udgivet: (2010)

Foreign Investor Flows and Sovereign Bond Yields in Advanced Economies /
af: Arslanalp, Serkan
Udgivet: (2014)

Drivers of Emerging Market Bond Flows and Prices /
af: Papageorgiou, Evan
Udgivet: (2021)

The Impact of Macroeconomic Announcements on Emerging Market Bonds /
af: Andritzky, Jochen
Udgivet: (2005)

Who Drains Bond Market Liquidity in an Emerging Market? /
af: Hoyos, Ricardo
Udgivet: (2020)

Bond Yields in Emerging Economies : It Matters What State You Are In /
af: Jaramillo, Laura
Udgivet: (2012)

Volatility and Jump Risk Premia in Emerging Market Bonds /
af: Matovu, John
Udgivet: (2007)