How Private Creditors Fared in Emerging Debt Markets, 1970-2000
January 1, 2004
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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.
Subject: Emerging and frontier financial markets, Financial crises, Financial institutions, Financial markets, Securities markets, Stock markets, Stocks
Keywords: Asia and Pacific, crises, debt crisis, debt flow, debt price, debt restructuring operation, debt stock, Emerging and frontier financial markets, emerging market debt, flow series, returns capital flows, secondary market, Securities markets, sovereign debt, Stock markets, Stocks, WP
Pages:
60
Volume:
2004
DOI:
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Issue:
013
Series:
Working Paper No. 2004/013
Stock No:
WPIEA0132004
ISBN:
9781451843033
ISSN:
1018-5941
