How Private Creditors Fared in Emerging Debt Markets, 1970-2000

By Jeromin Zettelmeyer, Beatrice Weder, Christoph A Klingen

January 1, 2004

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Jeromin Zettelmeyer, Beatrice Weder, and Christoph A Klingen. How Private Creditors Fared in Emerging Debt Markets, 1970-2000, (USA: International Monetary Fund, 2004) accessed September 20, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

We estimate ex post returns to emerging market debt by combining secondary-market prices with observed flows based on World Bank data. From 1970-2000, returns averaged 9 percent per annum, about the same as returns on a ten-year U.S. treasury bond. This reflects the combined effect of the 1980s debt crisis and much higher returns during 1989-2000. Annual returns since 1986 have been less volatile than emerging market equity returns but more volatile than returns on U.S. corporate or high-yield bonds. However, unlike returns on these bonds, emerging market debt returns do not seem significantly correlated with U.S. or world stock markets.

Subject: Emerging and frontier financial markets, Financial crises, Financial institutions, Financial markets, Securities markets, Stock markets, Stocks

Keywords: Asia and Pacific, Crises, Debt crisis, Debt flow, Debt price, Debt restructuring operation, Debt stock, Emerging and frontier financial markets, Emerging market debt, Flow series, Returns capital flows, Secondary market, Securities markets, Sovereign debt, Stock markets, Stocks, WP

Publication Details

Pages:

60
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2004/013
Stock No:

WPIEA0132004
ISBN:

9781451843033
ISSN:

1018-5941

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