Is It Still Mostly Fiscal Determinants Of Sovereign Spreads In Emerging Markets
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Is It Still Mostly Fiscal Determinants Of Sovereign Spreads In Emerging Markets
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Author : Mr.Amine Mati
language : en
Publisher: International Monetary Fund
Release Date : 2008-11-01
Is It Still Mostly Fiscal Determinants Of Sovereign Spreads In Emerging Markets written by Mr.Amine Mati 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 2008-11-01 with Business & Economics categories.
Using a panel of 30 emerging market economies from 1997 to 2007, this paper investigates the determinants of country risk premiums as measured by sovereign bond spreads. Unlike previous studies, the results indicate that both fiscal and political factors matter for credit risk in emerging markets. Lower levels of political risk are associated with tighter spreads, while efforts at fiscal consolidation narrow credit spreads, especially in countries that experienced prior defaults. The composition of fiscal policy matters: spending on public investment contributes to lower spreads as long as the fiscal position remains sustainable and the fiscal deficit does not worsen.
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.
International Sovereign Bonds By Emerging Markets And Developing Economies
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Author : Andrea Presbitero
language : en
Publisher: International Monetary Fund
Release Date : 2015-12-24
International Sovereign Bonds By Emerging Markets And Developing Economies written by Andrea Presbitero 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 2015-12-24 with Business & Economics categories.
What determines the ability of low-income developing countries to issue bonds in international capital and what explains the spreads on these bonds? This paper examines these questions using a dataset that includes emerging markets and developing economies (EMDEs) that issued sovereign bonds at least once during the period 1995-2013 as well as those that did not. We find that an EMDE is more likely to issue a bond when, in comparison with non-issuing peers, it is larger in economic size, has higher per capita GDP, and has stronger macroeconomic fundamentals and government. Spreads on sovereign bonds are lower for countries with strong external and fiscal positions, as well as robust economic growth and government effectiveness. With regard to global factors, the results show that sovereign bond spreads are reduced in periods of lower market volatility.
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.
The Rewards Of Fiscal Consolidation Sovereign Spreads And Confidence Effects
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Author : Mr.Antonio David
language : en
Publisher: International Monetary Fund
Release Date : 2019-07-02
The Rewards Of Fiscal Consolidation Sovereign Spreads And Confidence Effects written by Mr.Antonio David 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 2019-07-02 with Political Science categories.
This paper investigates the effects of fiscal consolidation announcements on sovereign spreads in a panel of 21 emerging market economies during 2000-18. We construct a novel dataset using a global news database to identify the precise announcement date of fiscal consolidation actions. Our results show that sovereign spreads decline significantly following news that austerity measures have been approved by the legislature (congress or parliament), in periods of high sovereign spreads or in countries under an IMF program. In addition, consolidation announcements are less contractionary when sovereign spreads decline, with the reduction in output being half of the counterfactual case in which spreads do not respond to announcements. These results constitute direct evidence that confidence effects, in the form of lower sovereign spreads, are an important transmission channel of fiscal shocks. We also find that the role of confidence effects increases with the level of spreads such that countries with high spread levels stand to benefit the most from putting in place credible austerity packages.
Emerging Market Bond Spreads And Sovereign Credit Ratings
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Author : Mr.Amadou N. R. Sy
language : en
Publisher: INTERNATIONAL MONETARY FUND
Release Date : 2001-10-01
Emerging Market Bond Spreads And Sovereign Credit Ratings written by Mr.Amadou N. R. Sy 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 2001-10-01 with Business & Economics categories.
This paper uses a panel data estimation of a simple univariate model of sovereign spreads on ratings to analyze statistically significant deviations from the estimated relationship. We find evidence of an asymmetric adjustment of spreads and ratings when such deviations are significant. In addition, the paper illustrates how significant disagreements between market and rating agencies' views can be used as a signal that further technical and sovereign analysis is warranted. For instance, we find that spreads were "excessively low" for most emerging markets before the Asian crisis. More recently, spreads were "excessively high" for a number of emerging markets.
Fiscal Policy And Financial Markets
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Author : Thomas Stratmann
language : en
Publisher: INTERNATIONAL MONETARY FUND
Release Date : 2006-01-01
Fiscal Policy And Financial Markets written by Thomas Stratmann 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 2006-01-01 with categories.
This paper introduces fiscal policy in a model of sovereign risk spreads ("spreads"). Using panel data from emerging market countries, we find that reductions in public expenditure are a more powerful tool for reducing spreads than increases in revenues. Specifically, cuts in current spending lower spreads by more than cuts in investment spending, and they also lower spreads by more than increases in revenue. We also show that debt-financed current spending increases sovereign risk by more than tax-financed current spending, suggesting that international investors have some preference for the latter. In line with the empirical literature on the determinants of spreads, we find that liquidity and solvency indicators, as well as macroeconomic fundamentals, are also important determinants of spreads.
Handbook Of Empirical Research On Islam And Economic Life
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Author : M. Kabir Hassan
language : en
Publisher: Edward Elgar Publishing
Release Date : 2016-12-30
Handbook Of Empirical Research On Islam And Economic Life written by M. Kabir Hassan and has been published by Edward Elgar Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-12-30 with Business & Economics categories.
In Islamic jurisprudence, a comprehensive ethic has been formulated governing how business and commerce should be run, how accountability to God and the community is to be achieved, and how banking and finance is to be arranged. This Handbook examines how well these values are translated into actual performance. It explores whether those holding true to the system are hindered and put at a disadvantage or whether the Islamic institutions have been able to demonstrate that faith-based activities can be rewarding, both economically and spiritually.
Spatial Spillovers In Emerging Market Spreads
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Author : Mr.Emanuele Baldacci
language : en
Publisher: International Monetary Fund
Release Date : 2011-09-01
Spatial Spillovers In Emerging Market Spreads written by Mr.Emanuele Baldacci 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 2011-09-01 with Business & Economics categories.
We use novel spatial econometrics techniques to explore spillovers in the sovereign bond market for 24 emerging economies during 1995-2010. The paper extends the previous literature focusing on spillover effects from advanced to emerging economies by analyzing transmission of shocks across emerging markets. After controlling for the impact of global factors, we find strong evidence of spillovers from both sovereign spreads and macroeconomic fundamentals in neighboring emerging economies. In addition to the geographical proximity, the channels of spatial transmission include trade and financial linkages. The results of the paper highlight the importance of accounting not only for spillovers from advanced economies to emerging markets, but also across emerging markets when analyzing sovereign spreads.