Tracking Global Demand For Emerging Market Sovereign Debt
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Tracking Global Demand For Emerging Market Sovereign Debt
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Author : Mr.Serkan Arslanalp
language : en
Publisher: International Monetary Fund
Release Date : 2014-03-05
Tracking Global Demand For Emerging Market Sovereign Debt 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 2014-03-05 with Business & Economics categories.
This paper proposes an approach to track US$1 trillion of emerging market government debt held by foreign investors in local and hard currency, based on a similar approach that was used for advanced economies (Arslanalp and Tsuda, 2012). The estimates are constructed on a quarterly basis from 2004 to mid-2013 and are available along with the paper in an online dataset. We estimate that about half a trillion dollars of foreign flows went into emerging market government debt during 2010–12, mostly coming from foreign asset managers. Foreign central bank holdings have risen as well, but remain concentrated in a few countries: Brazil, China, Indonesia, Poland, Malaysia, Mexico, and South Africa. We also find that foreign investor flows to emerging markets were less differentiated during 2010–12 against the background of near-zero interest rates in advanced economies. The paper extends some of the indicators proposed in our earlier paper to show how the investor base data can be used to assess countries’ sensitivity to external funding shocks and to track foreign investors’ exposures to different markets within a global benchmark portfolio.
Tracking Global Demand For Advanced Economy Sovereign Debt
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Author : Mr.Serkan Arslanalp
language : en
Publisher: International Monetary Fund
Release Date : 2012-12-03
Tracking Global Demand For Advanced Economy Sovereign Debt 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 2012-12-03 with Business & Economics categories.
Recent events have shown that sovereigns, just like banks, can be subject to runs, highlighting the importance of the investor base for their liabilities. This paper proposes a methodology for compiling internationally comparable estimates of investor holdings of sovereign debt. Based on this methodology, it introduces a dataset for 24 major advanced economies that can be used to track US$42 trillion of sovereign debt holdings on a quarterly basis over 2004-11. While recent outflows from euro periphery countries have received wide attention, most sovereign borrowers have continued to increase reliance on foreign investors. This may have helped reduce borrowing costs, but it can imply higher refinancing risks going forward. Meanwhile, advanced economy banks’ exposure to their own government debt has begun to increase across the board after the global financial crisis, strengthening sovereign-bank linkages. In light of these risks, the paper proposes a framework—sovereign funding shock scenarios (FSS)—to conduct forward-looking analysis to assess sovereigns’ vulnerability to sudden investor outflows, which can be used along with standard debt sustainability analyses (DSA). It also introduces two risk indices—investor base risk index (IRI) and foreign investor position index (FIPI)—to assess sovereigns’ vulnerability to shifts in investor behavior.
Global Financial Spillovers To Emerging Market Sovereign Bond Markets
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Author : Mr.Christian Ebeke
language : en
Publisher: International Monetary Fund
Release Date : 2015-06-26
Global Financial Spillovers To Emerging Market Sovereign Bond Markets written by Mr.Christian Ebeke 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 2015-06-26 with Business & Economics categories.
Foreign holdings of emerging markets (EMs) government bonds have increased substantially over the last decade. While foreign participation in local-currency sovereign bond markets provides an additional source of financing and reduces sovereign yields, it raises concerns about increased sensitivity of yields to shifts in market sentiment. The analysis in this paper suggests that foreign participation and an undiversified investor base transmit global financial shocks to local-currency sovereign bond markets by increasing yield volatility and, beyond a certain threshold, amplify these spillovers. These estimates are robust to a range of econometric techniques including panel smooth threshold regression.
Sovereign Default Risk And Private Sector Access To Capital In Emerging Markets
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Author : Mr.Udaibir S. Das
language : en
Publisher: International Monetary Fund
Release Date : 2010-01-01
Sovereign Default Risk And Private Sector Access To Capital In Emerging Markets written by Mr.Udaibir S. Das 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.
Top down spillovers of sovereign default risk can have serious consequences for the private sector in emerging markets. This paper analyzes the effects of these spillovers using firm-level data from 31 emerging market economies. We assess how sovereign risk affects corporate access to international capital markets, in the form of external credit (loans and bond issuances) and equity issuances. The study first analyzes the impact of sovereign debt crises during the 1980s and 1990s. It goes on to examine the 1993 to 2007 period, using additional measures of sovereign risk-sovereign bond spreads and sovereign ratings-as explanatory variables. Overall, we find that sovereign default risk is a crucial determinant of private sector access to capital, be it external debt or equity. We also find that crisis resolution patterns matter and that defaults towards private creditors have stronger adverse consequences than defaults to official creditors.
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.
Managing Sovereign Debt And Debt Markets Through A Crisis Practical Insights And Policy Lessons
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Author : International Monetary Fund
language : en
Publisher: International Monetary Fund
Release Date : 2011-04-18
Managing Sovereign Debt And Debt Markets Through A Crisis Practical Insights And Policy Lessons 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 2011-04-18 with Business & Economics categories.
The crisis highlighted the importance of debt management in containing debt-related risks and the associated impact on debt markets. The impact of the crisis on debt levels, and the consequent implications for fiscal consolidation, has been the subject of much discussion and analysis. However, there has been relatively less focus on the issue of how that debt should be managed, including how its composition should be structured so as to mitigate key risk exposures, and its implications for debt market functioning. That task proved significantly complex and challenging through the crisis, particularly in advanced economies, with additional dimensions of risk revealed.
A Guide To Sovereign Debt Data
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Author : S. M. Ali Abbas
language : en
Publisher: International Monetary Fund
Release Date : 2019-09-13
A Guide To Sovereign Debt Data written by S. M. Ali Abbas 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 2019-09-13 with Business & Economics categories.
The last decade or so has seen a mushrooming of new sovereign debt databases covering long time spans for several countries. This represents an important breakthrough for economists who have long sought to, but been unable to tackle, first-order questions such as why countries have differential debt tolerance, and how debt levels affect the scope for countercyclical policy in recessions and financial crises. This paper backdrops these recent data efforts, identifying both the key innovations, as well as caveats that users should be aware of. A Directory of existing publicly-available sovereign debt databases, featuring compilations by institutions and individual researchers, is also included.
Government Debt In Emerging Market Countries
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Author : Anastasia Guscina
language : en
Publisher: International Monetary Fund
Release Date : 2006-04
Government Debt In Emerging Market Countries written by Anastasia Guscina 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 2006-04 with Business & Economics categories.
This paper presents a new database on government debt in 19 emerging market countries since 1980. The data set focuses on the structure of debt in terms of jurisdiction of insurance, maturity, currency composition and indexation. The paper presents stylized facts on debt structures and preliminary evidence on their determinants. We observe substantial crosscountry variation in the structure of domestic debt and find it to be associated with countries' record of monetary stability.
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.
A Survey Of Experiences With Emerging Market Sovereign Debt Restructurings
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Author : Internationaler Währungsfonds
language : en
Publisher:
Release Date : 2012
A Survey Of Experiences With Emerging Market Sovereign Debt Restructurings written by Internationaler Währungsfonds and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
This paper takes stock of past episodes of debt restructuring and reviews the relevant literature. Based on cross-country experience from the late 1990s through 2010 of emerging markets it offers some stylized facts.