Determinants Of Investment Grade Status In Emerging Markets
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Determinants Of Investment Grade Status In Emerging Markets
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Author : Laura Jaramillo
language : en
Publisher: International Monetary Fund
Release Date : 2010-05-01
Determinants Of Investment Grade Status In Emerging Markets written by Laura Jaramillo and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-05-01 with Business & Economics categories.
Emerging market countries seek investment grade status to lower financing costs for the sovereign, expand the pool of potential investors to institutional investors, and allow corporates the possibility of reducing their borrowing costs. Using a random effects binomial logit model on a sample of 48 emerging markets, the paper finds that, to a large extent, investment grade rating assignments can be explained by a handful of variables. The results also suggest that efforts by emerging markets to increase the likelihood of an upgrade should focus on debt indicators rather than the other key determinants of investment grade status.
Sovereign Credit Ratings And Spreads In Emerging Markets
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Author : Laura Jaramillo
language : en
Publisher: International Monetary Fund
Release Date : 2011-03-01
Sovereign Credit Ratings And Spreads In Emerging Markets written by Laura Jaramillo and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-03-01 with Business & Economics categories.
Sovereign investment grade status is often associated with lower spreads in international markets. Using a panel framework for 35 emerging markets between 1997 and 2010, thispaper finds that investment grade status reduces spreads by 36 percent, above and beyond what is implied by macroeconomic fundamentals. This compares to a 5-10 percent reduction in spreads following upgrades within the investment grade asset class, and no impact formovements within the speculative grade asset class, ceteris paribus. While global financial conditions play a central role in determining spreads, market sentiment improves with lower external public debt to GDP levels and higher domestic growth rates.
Panama
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Author : International Monetary Fund
language : en
Publisher: International Monetary Fund
Release Date : 2010-10-15
Panama written by International Monetary Fund and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-10-15 with Business & Economics categories.
This paper presents empirical evidence on the effects of achieving investment grade on borrowing costs for the sovereign and the private sector. This study provides background information on sovereign credit ratings and compares Panama’s key macroeconomic and institutional characteristics with those of other emerging markets. Statistical evidence on the reduction in sovereign spreads associated with obtaining investment grade status and the impact of the sovereign’s upgrade on corporate financing costs were also discussed. The model is estimated using a variety of panel regression techniques.
The Volatility Of Capital Flows In Emerging Markets
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Author : Maria Sole Pagliari
language : en
Publisher: International Monetary Fund
Release Date : 2017-03-07
The Volatility Of Capital Flows In Emerging Markets written by Maria Sole Pagliari and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-03-07 with Business & Economics categories.
Capital flow volatility is a concern for macroeconomic and financial stability. Nonetheless, literature is scarce in this topic. Our paper sheds light on this issue in two dimensions. First, using quarterly data for 65 countries over the period 1970Q1-2016Q1, we construct three measures of volatility, for total capital flows and key instruments. Second, we perform panel regressions to understand the determinants of volatility. The measures show that the volatility of all instruments is prone to bouts, rising sharply during global shocks like the taper tantrum episode. Capital flow volatility thus remains a challenge for policy makers. The regression results suggest that push factors can be more important than pull factors in explaining volatility, illustrating that the characteristics of volatility can be different from those of the flows levels.
Push Factors And Capital Flows To Emerging Markets
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Author : Mr.Eugenio Cerutti
language : en
Publisher: International Monetary Fund
Release Date : 2015-06-22
Push Factors And Capital Flows To Emerging Markets written by Mr.Eugenio Cerutti and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-06-22 with Business & Economics categories.
This paper analyzes the behavior of gross capital inflows across 34 emerging markets (EMs). We first confirm that aggregate inflows to EMs co-move considerably. We then report three findings: (i) the aggregate co-movement conceals significant heterogeneity across asset types as only bank-related and portfolio bond and equity inflows do co-move; (ii) while global push factors in advanced economies mostly explain the common dynamics, their relative importance varies by type of flow; and (iii) the sensitivity to common dynamics varies significantly across borrower countries, with market structure characteristics (especially the composition of the foreign investor base and the level of liquidity) rather than borrower country’s institutional fundamentals strongly affecting sensitivities. Countries relying more on international funds and global banks are found to be more sensitive to push factors. Our findings suggest that EMs need to closely monitor their lenders and investors to assess their inflow exposures to global push factors.
Correlations In Emerging Market Bonds
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Author : Mr.A. Javier Hamann
language : en
Publisher: International Monetary Fund
Release Date : 2010-01-01
Correlations In Emerging Market Bonds written by Mr.A. Javier Hamann and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-01-01 with Business & Economics categories.
This paper examines the comovement in emerging market bond returns and disentangles the influence of external and domestic factors. The conceptual framework, set in the context of asset allocation, allows us to describe the channels through which shocks originating in a particular emerging or mature market are transmitted across countries and markets. We show that using a simple measure of cross-country correlations together with the commonly used average correlation coefficient can be more informative during episodes of heightened market instability. Data for the period 1997-2008 are analyzed for evidence of true contagion and common external shocks.
Determinants Of Emerging Market Sovereign Bond Spreads
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Author : Iva Petrova
language : en
Publisher: International Monetary Fund
Release Date : 2010-12-01
Determinants Of Emerging Market Sovereign Bond Spreads written by Iva Petrova and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-12-01 with Business & Economics categories.
This paper analyses the determimants of emerging market sovereign bond spreads by examining the short and long-run effects of fundamental (macroeconomic) and temporary (financial market) factors on these spreads. During the current global financial and economic crisis, sovereign bond spreads widened dramatically for both developed and emerging market economies. This deterioration has widely been attributed to rapidly growing public debts and balance sheet risks. Our results indicate that in the long run, fundamentals are significant determinants of emerging market sovereign bond spreads, while in the short run, financial volatility is a more important determinant of sperads than fundamentals indicators.
Determinants Of Sovereign Bond Spreads In Emerging Markets
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Author : Mr.Balazs Csonto
language : en
Publisher: International Monetary Fund
Release Date : 2013-07-10
Determinants Of Sovereign Bond Spreads In Emerging Markets written by Mr.Balazs Csonto and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-07-10 with Business & Economics categories.
We analyze the relationship between global and country-specific factors and emerging market debt spreads from three different angles. First, we aim to disentangle the effect of global and country-specific developments, and find that while both country-specific and global developments are important in the long-run, global factors are main determinants of spreads in the short-run. Second, we investigate whether and how the strength of fundamentals is related to the sensitivity of spreads to global factors. Countries with stronger fundamentals tend to have lower sensitivity to changes in global risk aversion. Third, we decompose changes in spreads and analyze the behavior of explained and unexplained components over different periods. To do so, we break down fitted changes in spreads into the contribution of country-specific and global factors, as well as decompose changes in the residual into the correction of initial misalignment and an increase/decrease in misalignment. We find that changes in spreads follow periods of tightening/widening, which are well-explained by the model; and the dynamics of the components of the unexplained residual follow all the major developments that impact market sentiment. In particular, we find that in the periods of severe marketstress, such as during the intensive phase of the Eurozone debt crisis, global factors tend to drive changes in the spreads and the misalignment tends to increase in magnitude and its relative share in actual spreads.
Emerging Market Portfolio Flows
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Author : Mr.Serkan Arslanalp
language : en
Publisher: International Monetary Fund
Release Date : 2015-12-17
Emerging Market Portfolio Flows written by Mr.Serkan Arslanalp and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-12-17 with Business & Economics categories.
Portfolio flows to emerging markets (EMs) tend to be correlated. A possible explanation is the role global benchmarks play in allocating capital internationally, the so-called “benchmark effect.” This paper finds that benchmark-driven investors indeed play a large role in a key segment of the market—the EM local currency government bond market—, accounting for more than one third of total foreign holdings as of end-2014. We find that the prominence of these investors declined somewhat after the May 2013 taper tantrum, but remain high. This distinction is important in understanding the drivers of EM capital flows and their sensitivity to different types of shocks. In particular, a high share of benchmark-driven investors may result in capital flows that are more sensitive to global shocks and less sensitive to country factors.
Trading Fixed Income And Fx In Emerging Markets
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Author : Dirk Willer
language : en
Publisher: John Wiley & Sons
Release Date : 2020-09-02
Trading Fixed Income And Fx In Emerging Markets written by Dirk Willer and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-09-02 with Business & Economics categories.
A practitioner's guide to finding alpha in fixed income trading in emerging markets Emerging fixed income markets are both large and fast growing. China, currently the second largest economy in the world, is predicted to overtake the United States by 2030. Chinese fixed income markets are worth more than $11 trillion USD and are being added to global fixed income indices starting in 2019. Access for foreigners to the Indian fixed income market, valued at almost 1trn USD, is also becoming easier – a trend repeated in emerging markets around the world. The move to include large Emerging Market (EM) fixed income markets into non-EM benchmarks requires non-EM specialists to understand EM fixed income. Trading Fixed Income in Emerging Markets examines the principle drivers for EM fixed income investing. This timely guide suggests a more systematic approach to EM fixed income trading with a focus on practical trading rules on how to generate alpha, assisting EM practitioners to limit market-share losses to passive investment vehicles. The definitive text on trading EM fixed income, this book is heavily data-driven – every trading rule is thoroughly back-tested over the last 10+ years. Case studies help readers identify and benefit from market regularities, while discussions of the business cycle and typical EM events inform and optimise trading strategies. Topics include portfolio construction, how to apply ESG principles to EM and the future of EM investing in the realm of Big Data and machine learning. Written by practitioners for practitioners, this book: Provides effective, immediately-accessible tools Covers all three fixed income asset classes: EMFX, EM local rates and EM credit Thoroughly analyses the impact of the global macro cycle on EM investing Examines the influence of the financial rise of China and its fixed income markets Includes case studies of trades that illustrate how markets typically behave in certain situations The first book of its kind, Trading Fixed Income in Emerging Markets: A Practitioner’s Guide is an indispensable resource for EM fund managers, analysts and strategists, sell-side professionals in EM and non-EM specialists considering activity in emerging markets.