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Emerging Market Bond Spreads and Sovereign Credit Ratings

Emerging Market Bond Spreads and Sovereign Credit Ratings »

Source: Emerging Market Bond Spreads and Sovereign Credit Ratings : Reconciling Market Views with Economic Fundamentals

Volume/Issue: 2001/165

Series: IMF Working Papers

Author(s): Amadou Sy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2001

ISBN: 9781451858051

Keywords: Bond spreads, monitoring, risk appetite, bond, bonds, emerging market bond, market bond, Financial Institutions and Services: General,

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 asymmetri...

Fatal Attraction

Fatal Attraction »

Source: Fatal Attraction : A New Measure of Contagion

Volume/Issue: 2003/80

Series: IMF Working Papers

Author(s): Tamim Bayoumi , Manmohan Kumar , Giorgio Fazio , and Ronald MacDonald

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2003

ISBN: 9781451850321

Keywords: Contagion, international capital flows, emerging market crises, correlations, correlation, currency crises, asian crisis, International Lending and Debt Problems,

This paper proposes a new measure of contagion that is good at anticipating future vulnerabilities. Building on previous work, it uses correlations of equity markets across countries to measure contagion, but in a...

Vanishing Contagion?

Vanishing Contagion? »

Volume/Issue: 2006/1

Series: IMF Policy Discussion Papers

Author(s): Paolo Mauro , Tatiana Didier , and Sergio Schmukler

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2006

DOI: http://dx.doi.org/10.5089/9781451946062.003

ISBN: 9781451946062

Keywords: Economic integration, Financial crisis, Emerging markets, crises, international integration, international transmission of shocks, contagion, investors, mutual funds, emerging market

While a number of emerging market crises were characterized by widespread contagion during the 1990s, more recent crises (notably, in Argentina) have been mostly contained within national borders. This has led some...

Emerging Market Bond Spreads and Sovereign Credit Ratings
			: Reconciling Market Views with Economic Fundamentals

Emerging Market Bond Spreads and Sovereign Credit Ratings : Reconciling Market Views with Economic Fundamentals »

Volume/Issue: 2001/165

Series: IMF Working Papers

Author(s): Amadou Sy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2001

DOI: http://dx.doi.org/10.5089/9781451858051.001

ISBN: 9781451858051

Keywords: Bond spreads, monitoring, risk appetite, bond, bonds, emerging market bond, market bond, Financial Institutions and Services: General,

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 asymmetri...

Fatal Attraction
			: A New Measure of Contagion

Fatal Attraction : A New Measure of Contagion »

Volume/Issue: 2003/80

Series: IMF Working Papers

Author(s): Tamim Bayoumi , Manmohan Kumar , Giorgio Fazio , and Ronald MacDonald

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2003

DOI: http://dx.doi.org/10.5089/9781451850321.001

ISBN: 9781451850321

Keywords: Contagion, international capital flows, emerging market crises, correlations, correlation, currency crises, asian crisis, International Lending and Debt Problems,

This paper proposes a new measure of contagion that is good at anticipating future vulnerabilities. Building on previous work, it uses correlations of equity markets across countries to measure contagion, but in a...

Vanishing Contagion?

Vanishing Contagion? »

Source: Vanishing Contagion?

Volume/Issue: 2006/1

Series: IMF Policy Discussion Papers

Author(s): Paolo Mauro , Tatiana Didier , and Sergio Schmukler

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2006

ISBN: 9781451946062

Keywords: Economic integration, Financial crisis, Emerging markets, crises, international integration, international transmission of shocks, contagion, investors, mutual funds, emerging market

While a number of emerging market crises were characterized by widespread contagion during the 1990s, more recent crises (notably, in Argentina) have been mostly contained within national borders. This has led some...