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

Author/Editor:

Jeromin Zettelmeyer ; Beatrice Weder ; Christoph A Klingen

Publication Date:

January 1, 2004

Electronic Access:

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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:

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

English

Publication Date:

January 1, 2004

ISBN/ISSN:

9781451843033/1018-5941

Stock No:

WPIEA0132004

Format:

Paper

Pages:

60

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