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Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises

Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises »

Source: Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises

Volume/Issue: 2003/251

Series: IMF Working Papers

Author(s): Brenda Gonzalez-Hermosillo , Vance Martin , Mardi Dungey , and Renee Fry

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2003

ISBN: 9781451875928

Keywords: Risk Aversion, SVAR, bond, bond spreads, statistics, financial markets, Multiple or Simultaneous Equation Models: Models with Panel Data, Financial Markets and the Macroeconomy, International Lending and Debt Problems,

The effects of unanticipated movements in global risk on nine emerging bond markets are investigated. The components of global risk are volatility, credit, and liquidity risks. Country and contagion risks are also...

Global Liquidity through the Lens of Monetary Aggregates

Global Liquidity through the Lens of Monetary Aggregates »

Source: Global Liquidity through the Lens of Monetary Aggregates

Volume/Issue: 2014/9

Series: IMF Working Papers

Author(s): Kyuil Chung , Jong-Eun Lee , Elena Loukoianova , Hail Park , and Hyun Shin

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 24 January 2014

ISBN: 9781475514551

Keywords: Corporate deposits, offshore bond issuance, capital inflow, capital flows, capital markets, debt securities, General, International Monetary Arrangements and Institutions,

This paper examines how the financial activities of non-financial corporates (NFCs) in international markets potentially affects domestic monetary aggregates and financial conditions. Monetary aggregates reflect, i...

Global Spillovers into Domestic Bond Markets in Emerging Market Economies*

Global Spillovers into Domestic Bond Markets in Emerging Market Economies* »

Source: Global Spillovers into Domestic Bond Markets in Emerging Market Economies

Volume/Issue: 2013/264

Series: IMF Working Papers

Author(s): Laura Jaramillo , and Anke Weber

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 December 2013

ISBN: 9781484328446

Keywords: Emerging Market Economies, Fiscal Deficit, Global Spillovers, bond, bond yields, domestic bond, sovereign bond, Financial Markets and the Macroeconomy,

While fiscal conditions remain healthier than in advanced economies, emerging economies continue to be exposed to negative spillovers if global conditions were to become less favorable. This paper finds that domest...

Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises

Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises »

Volume/Issue: 2003/251

Series: IMF Working Papers

Author(s): Brenda Gonzalez-Hermosillo , Vance Martin , Mardi Dungey , and Renee Fry

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2003

DOI: http://dx.doi.org/10.5089/9781451875928.001

ISBN: 9781451875928

Keywords: Risk Aversion, SVAR, bond, bond spreads, statistics, financial markets, Multiple or Simultaneous Equation Models: Models with Panel Data, Financial Markets and the Macroeconomy, International Lending and Debt Problems,

The effects of unanticipated movements in global risk on nine emerging bond markets are investigated. The components of global risk are volatility, credit, and liquidity risks. Country and contagion risks are also...

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...

Global Liquidity through the Lens of Monetary Aggregates

Global Liquidity through the Lens of Monetary Aggregates »

Volume/Issue: 2014/9

Series: IMF Working Papers

Author(s): Kyuil Chung , Jong-Eun Lee , Elena Loukoianova , Hail Park , and Hyun Shin

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 24 January 2014

DOI: http://dx.doi.org/10.5089/9781475514551.001

ISBN: 9781475514551

Keywords: Corporate deposits, offshore bond issuance, capital inflow, capital flows, capital markets, debt securities, General, International Monetary Arrangements and Institutions,

This paper examines how the financial activities of non-financial corporates (NFCs) in international markets potentially affects domestic monetary aggregates and financial conditions. Monetary aggregates reflect, i...

Global Spillovers into Domestic Bond Markets in Emerging Market Economies

Global Spillovers into Domestic Bond Markets in Emerging Market Economies »

Volume/Issue: 2013/264

Series: IMF Working Papers

Author(s): Laura Jaramillo , and Anke Weber

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 December 2013

DOI: http://dx.doi.org/10.5089/9781484328446.001

ISBN: 9781484328446

Keywords: Emerging Market Economies, Fiscal Deficit, Global Spillovers, bond, bond yields, domestic bond, sovereign bond, Financial Markets and the Macroeconomy,

While fiscal conditions remain healthier than in advanced economies, emerging economies continue to be exposed to negative spillovers if global conditions were to become less favorable. This paper finds that domest...

Investors' Risk Appetite and Global Financial Market Conditions

Investors' Risk Appetite and Global Financial Market Conditions »

Volume/Issue: 2008/85

Series: IMF Working Papers

Author(s): Brenda Gonzalez-Hermosillo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2008

DOI: http://dx.doi.org/10.5089/9781451869460.001

ISBN: 9781451869460

Keywords: volatility risk, default risk, risk appetite, financial markets, bond, global financial markets, bond spreads, financial market,

A structural vector autoregression model is developed to analyze the dynamics of bond spreads among a sample of mature and developing countries during periods of financial stress in the last decade. The model ident...

Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets

Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets »

Volume/Issue: 2014/156

Series: IMF Working Papers

Author(s): Nasha Ananchotikul , and Longmei Zhang

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 19 August 2014

DOI: http://dx.doi.org/10.5089/9781498340229.001

ISBN: 9781498340229

Keywords: portfolio flows, global risk aversion, exchange rate, bond, bond flows, risk aversion, stock market, Portfolio Choice,

In recent years, portfolio flows to emerging markets have become increasingly large and volatile. Using weekly portfolio fund flows data, the paper finds that their short-run dynamics are driven mostly by global 'p...

Investors' Risk Appetite and Global Financial Market Conditions

Investors' Risk Appetite and Global Financial Market Conditions »

Source: Investors' Risk Appetite and Global Financial Market Conditions

Volume/Issue: 2008/85

Series: IMF Working Papers

Author(s): Brenda Gonzalez-Hermosillo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2008

ISBN: 9781451869460

Keywords: volatility risk, default risk, risk appetite, financial markets, bond, global financial markets, bond spreads, financial market,

A structural vector autoregression model is developed to analyze the dynamics of bond spreads among a sample of mature and developing countries during periods of financial stress in the last decade. The model ident...