IMF Working Papers

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

Author/Editor:

Jeronimo Zettelmeyer ; Beatrice Weder ; Christoph A Klingen

Publication Date:

January 1, 2004

Electronic Access:

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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:

Algeria Argentina Brazil Capital flows Chile Colombia Debt Ecuador Indonesia Jordan Korea, Republic of Lebanon Malaysia Mexico Morocco Nigeria Pakistan Panama Peru Philippines Sovereign debt Thailand Turkey Venezuela