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The Impact of Macroeconomic Announcements on Emerging Market Bonds

Author/Editor: Andritzky, Jochen R. | Bannister, Geoffrey J. | Tamirisa, Natalia T.
Authorized for Distribution: April 1, 2005
Electronic Access: Free Full Text (PDF file size is 676KB)
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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: This paper examines how emerging bond markets react to macroeconomic announcements. Global bond spreads respond to rating actions and changes in global interest rates rather than domestic data and policy announcements. All announcements affect market volatility. Data and policy announcements reduce uncertainty and stabilize the trading environment, while rating actions cause greater volatility. Results are broadly robust to country-specific and panel analyses, assuming conditional variance and controlling for the surprise content of news. In subsamples, announcements are found to matter less for countries with more transparent policies and higher credit ratings. In a crisis, rating actions become less important, and investors focus more on simple and timely indicators, like CPI.
 
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Series: Working Paper No. 05/83
Subject(s): Announcements | Emerging markets | Bonds | Financial crisis
Author's keyword(s): Announcement | emerging market bonds | news | crisis
 
English  
    Published:   April 1, 2005        
    ISBN/ISSN:   1934-7073   Format:   Paper
    Stock No:   WPIEA2005083   Pages:   31
    Price:   US$15.00 (Academic Rate: US$15.00 )
       
     
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