Working Papers in full text
2013
2012
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
2001
2000
1999
1998
1997
All
Other research-related activities and publications of the IMF can be found at IMF Research
|
Free Email Notification
Receive emails when we post new
items of interest to you.
Subscribe or
Modify your profile
|
|
|
|
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)
Use the free Adobe Acrobat Reader to view this PDF file.
|
|
|
|
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.
|
|
|
|
Order a print copy
|
|
Series: |
Working Paper No. 05/83 |
|
Subject(s): |
Announcements | Emerging markets | Bonds | Financial crisis |
|
Author's keyword(s): |
Announcement
| emerging market bonds
| news
| crisis
|
|
|
|
|
| |
Published: |
|
April 1, 2005 |
|
|
|
|
| |
ISBN/ISSN: |
|
1934-7073 |
|
Format: |
|
Paper |
| |
Stock No: |
|
WPIEA2005083 |
|
Pages: |
|
31 |
| |
Price: |
|
US$15.00 (Academic Rate: US$15.00 )
|
|
|
|
|
|
|
