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

Author/Editor: Klingen, Christoph ; Weder, Beatrice ; Zettelmeyer, Jeromin
Publication Date: January 01, 2004
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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.
Series: Working Paper No. 04/13
Subject(s): Debt | Capital flows | emerging markets | Venezuela, República Bolivariana de | Turkey | Jordan | Panama | Ecuador | Philippines | Malaysia | Brazil | Côte d'Ivoire | Argentina | Pakistan | Lebanon | Colombia | Morocco | Peru | Nigeria | Korea, Republic of | Algeria | Chile | Thailand | Indonesia | Mexico

Author's Keyword(s): Sovereign debt | debt crises | returns | capital flows
Publication Date: January 01, 2004
ISBN/ISSN: 1934-7073 Format: Paper
Stock No: WPIEA0132004 Pages: 59
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