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Global Financial Spillovers to Emerging Market Sovereign Bond Markets1

Global Financial Spillovers to Emerging Market Sovereign Bond Markets1 »

Source: Global Financial Spillovers to Emerging Market Sovereign Bond Markets

Volume/Issue: 2015/141

Series: IMF Working Papers

Author(s): Christian Ebeke , and Annette Kyobe

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 26 June 2015

ISBN: 9781513552750

Keywords: Financial shocks, EM bond markets, Non-linearity, markets, currency, bond, holdings,

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 f...

Global Financial Spillovers to Emerging Market Sovereign Bond Markets

Global Financial Spillovers to Emerging Market Sovereign Bond Markets »

Volume/Issue: 2015/141

Series: IMF Working Papers

Author(s): Christian Ebeke , and Annette Kyobe

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 26 June 2015

DOI: http://dx.doi.org/10.5089/9781513552750.001

ISBN: 9781513552750

Keywords: Financial shocks, EM bond markets, Non-linearity, markets, currency, bond, holdings,

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 f...

Sovereign CDS Spreads in Europe
			: The Role of Global Risk Aversion, Economic Fundamentals, Liquidity, and Spillovers

Sovereign CDS Spreads in Europe : The Role of Global Risk Aversion, Economic Fundamentals, Liquidity, and Spillovers »

Volume/Issue: 2014/17

Series: IMF Working Papers

Author(s): Frigyes Heinz , and Yan Sun

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 28 January 2014

DOI: http://dx.doi.org/10.5089/9781484393017.001

ISBN: 9781484393017

Keywords: CESEE countries, financial spillovers, CDS spreads, debt threshold, current account, public debt, current account balance, Financial Markets and the Macroeconomy, Asset Pricing,

By analysing data from January 2007 to December 2012 in a panel GLS error correction framework we find that European countries' sovereign CDS spreads are largely driven by global investor sentiment, macroeconomic f...

Sovereign CDS Spreads in Europe: The Role of Global Risk Aversion, Economic Fundamentals, Liquidity, and Spillovers

Sovereign CDS Spreads in Europe: The Role of Global Risk Aversion, Economic Fundamentals, Liquidity, and Spillovers »

Source: Sovereign CDS Spreads in Europe : The Role of Global Risk Aversion, Economic Fundamentals, Liquidity, and Spillovers

Volume/Issue: 2014/17

Series: IMF Working Papers

Author(s): Frigyes Heinz , and Yan Sun

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 28 January 2014

ISBN: 9781484393017

Keywords: CESEE countries, financial spillovers, CDS spreads, debt threshold, current account, public debt, current account balance, Financial Markets and the Macroeconomy, Asset Pricing,

By analysing data from January 2007 to December 2012 in a panel GLS error correction framework we find that European countries' sovereign CDS spreads are largely driven by global investor sentiment, macroeconomic f...

Cross-Country Linkages in Europe
			: A Global VAR Analysis

Cross-Country Linkages in Europe : A Global VAR Analysis »

Volume/Issue: 2013/194

Series: IMF Working Papers

Author(s): Yan Sun , Frigyes Heinz , and Giang Ho

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 September 2013

DOI: http://dx.doi.org/10.5089/9781484345474.001

ISBN: 9781484345474

Keywords: Spillover, Global VAR, regional model, macro-financial linkages, emerging Europe, gdp growth, real gdp, inflation, growth rate, long-term interest rates

This paper uses the Global VAR (GVAR) model proposed by Pesaran et al. (2004) to study cross-country linkages among euro area countries, other advanced European countries (including the Nordics, the UK, etc.), and...

Determinants of Sovereign Bond Spreads in Emerging Markets
			: Local Fundamentals and Global Factors vs. Ever-Changing Misalignments

Determinants of Sovereign Bond Spreads in Emerging Markets : Local Fundamentals and Global Factors vs. Ever-Changing Misalignments »

Volume/Issue: 2013/164

Series: IMF Working Papers

Author(s): Balazs Csonto , and Iryna Ivaschenko

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 10 July 2013

DOI: http://dx.doi.org/10.5089/9781475573206.001

ISBN: 9781475573206

Keywords: Emerging market debt, spreads, misalignment, bond, bond spreads, emerging market bond, market bond, Asset Pricing,

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 developme...

3. Emerging Europe and the Global Crisis: Lessons from the Boom and Bust

3. Emerging Europe and the Global Crisis: Lessons from the Boom and Bust »

Source: Regional Economic Outlook, October 2010, Europe, Building Confidence

Series: Regional Economic Outlook

Author(s): International Monetary Fund. European Dept.

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 20 October 2010

ISBN: 9781589069510

Keywords: capital inflows, exchange rate, fiscal consolidation, fiscal policy, capital flows

Two years after the collapse of Lehman Brothers, emerging Europe 22 has begun its recovery from its deepest post-transition recession. While the recovery remain...

2. Emerging Europe: Toward Self-Sustained Growth

2. Emerging Europe: Toward Self-Sustained Growth »

Source: Regional Economic Outlook, October 2010, Europe, Building Confidence

Series: Regional Economic Outlook

Author(s): International Monetary Fund. European Dept.

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 20 October 2010

ISBN: 9781589069510

Keywords: capital inflows, exchange rate, fiscal consolidation, fiscal policy, capital flows

Emerging Europe (EE) 7 is recovering from its deepest recession in the post-transition period. GDP in the region is likely to grow by 3.9 percent in 2010 and 3....

Emerging Economy Responses to the Global Financial Crisis of 2007-09 - An Empirical Analysis of the Liquidity Easing Measures

Emerging Economy Responses to the Global Financial Crisis of 2007-09 - An Empirical Analysis of the Liquidity Easing Measures »

Source: Emerging Economy Responses to the Global Financial Crisis of 2007-09 - An Empirical Analysis of the Liquidity Easing Measures

Volume/Issue: 2009/265

Series: IMF Working Papers

Author(s): Etienne Yehoue

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2009

ISBN: 9781451874105

Keywords: Financial Markets, Monetary Policy, Central Banking, exchange rate, current account, foreign exchange, central bank, external debt

This paper draws on a unique data set on the nontraditional systemic liquidity easing measures recently undertaken by many emerging market economies. It offers an empirical analysis of the key determinants affectin...

Emerging Economy Responses to the Global Financial Crisis of 2007-09 - An Empirical Analysis of the Liquidity Easing Measures

Emerging Economy Responses to the Global Financial Crisis of 2007-09 - An Empirical Analysis of the Liquidity Easing Measures »

Volume/Issue: 2009/265

Series: IMF Working Papers

Author(s): Etienne Yehoue

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2009

DOI: http://dx.doi.org/10.5089/9781451874105.001

ISBN: 9781451874105

Keywords: Financial Markets, Monetary Policy, Central Banking, exchange rate, current account, foreign exchange, central bank, external debt

This paper draws on a unique data set on the nontraditional systemic liquidity easing measures recently undertaken by many emerging market economies. It offers an empirical analysis of the key determinants affectin...