How Private Creditors Fared in Emerging Debt Markets, 1970-2000
IMF Working Papers, January 1, 2004
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- How Private Creditors Fared in Emerging Debt Markets, 1970-2000
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Bibliographic details
- Authors: Jeromin Zettelmeyer, Beatrice Weder, Christoph A Klingen
- Published: January 1, 2004
- Series: IMF Working Papers
Summary findings
- Returns on emerging market debt from 1970-2000 averaged 9 percent per annum.
- The 1970-2000 return profile reflects the combined effect of the 1980s debt crisis and much higher returns during 1989-2000.
- Returns over 1970-2000 were about the same as returns on a ten-year U.S. treasury bond.
- Annual returns since 1986 have been:
- Less volatile than emerging market equity returns.
- More volatile than returns on U.S. corporate bonds or high-yield bonds.
- Emerging market debt returns do not seem significantly correlated with U.S. or world stock markets.
Methodology and scope
- Ex post returns were estimated by combining secondary-market prices with observed flows based on World Bank data.
- Time horizon analyzed: 1970-2000.
- Comparative benchmarks referenced: ten-year U.S. treasury bond, emerging market equity returns, U.S. corporate bonds, high-yield bonds, U.S. and world stock markets.
Publication metadata and descriptive statistics
- Publication type: IMF Working Paper.
- Authors: Jeromin Zettelmeyer, Beatrice Weder, Christoph A Klingen.
- Date: January 1, 2004.
- Pages: 60.
- Volume: 2004.
- Issue: 013.
- Series: Working Paper No. 2004/013.
- Stock No: WPIEA0132004.
- ISBN: 9781451843033.
- ISSN: 1018-5941.
How Private Creditors Fared in Emerging Debt Markets, 1970-2000, Jeromin Zettelmeyer, Beatrice Weder, Christoph A Klingen, IMF Working Paper 2004/013.