On the Information Content of Ldc Secondary Loan Market Prices

Author/Editor:

Mark R. Stone

Publication Date:

February 1, 1991

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:

This note examines the impact of measurable and unmeasurable (not correlated with observed aggregates) information on secondary market LDC loan prices. The Institutional Investor country risk ratings are used to construct a proxy for the non-quantifiable information that moves debt market values. Regression results indicate that market participants use both macroeconomic aggregates and unmeasurable information to price LDC loans. This implies that price changes unrelated to observables need not raise concerns regarding price reliability, and, in fact, such price movements may well be conveying important information not quantified elsewhere.

Series:

Working Paper No. 1991/020

Subject:

Arrears External debt Financial institutions Loans

English

Publication Date:

February 1, 1991

ISBN/ISSN:

9781451843781/1018-5941

Stock No:

WPIEA0201991

Pages:

18

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