The Sensitivity Of Secondary Sovereign Loan Market Returns To Macroeconomlc Fundamentals
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| Author | : International Monetary Fund |
| Publisher | : International Monetary Fund |
| Total Pages | : 32 |
| Release | : 1990-06-01 |
| Genre | : Business & Economics |
| ISBN | : 1451968981 |
The sensitivity of secondary sovereign loan market returns to three classes of economic news is estimated in the arbitrage pricing theory framework. Returns are characterized by a limited response to unexpected changes in procyclical U.S. aggregates. Shocks to country-specific balance of payment indicators do not impact debt prices. Announcements of policy changes by creditors and third parties that presage changes in future lending induce large debt price changes. The failure of the data to meet the empirical arbitrage pricing theory restrictions and the large proportion of return variance unexplained by macroeconomic fundamentals highlight the differences between corporate and sovereign securities.
| Author | : Mark Richard Stone |
| Publisher | : |
| Total Pages | : 34 |
| Release | : 1990 |
| Genre | : Balance of payments |
| ISBN | : |
| Author | : Marc Chesney |
| Publisher | : World Bank Publications |
| Total Pages | : 27 |
| Release | : 1992 |
| Genre | : Debt relief |
| ISBN | : |
The risk that the debtor country will default on its external debt may be significantly decreased by a debt-reduction operation, by a reduction in international interest rates, and by changes in the country's willingness to pay.
| Author | : Mr.Mark R. Stone |
| Publisher | : International Monetary Fund |
| Total Pages | : 18 |
| Release | : 1991-02-01 |
| Genre | : Business & Economics |
| ISBN | : 145184378X |
This note examines the impact of measurable and unmeasurable (not correlated with observed aggregates) information on secondary market LDC loan prices. The Institutional Investor country risk ratings are used to construct a proxy for the non-quantifiable information that moves debt market values. Regression results indicate that market participants use both macroeconomic aggregates and unmeasurable information to price LDC loans. This implies that price changes unrelated to observables need not raise concerns regarding price reliability, and, in fact, such price movements may well be conveying important information not quantified elsewhere.
| Author | : Thordur Jonasson |
| Publisher | : International Monetary Fund |
| Total Pages | : 133 |
| Release | : 2018-04-06 |
| Genre | : Business & Economics |
| ISBN | : 1484350545 |
This paper provides an overview of sovereign debt portfolio risks and discusses various liability management operations (LMOs) and instruments used by public debt managers to mitigate these risks. Debt management strategies analyzed in the context of helping reach debt portfolio targets and attain desired portfolio structures. Also, the paper outlines how LMOs could be integrated into a debt management strategy and serve as policy tools to reduce potential debt portfolio vulnerabilities. Further, the paper presents operational issues faced by debt managers, including the need to develop a risk management framework, interactions of debt management with fiscal policy, monetary policy, and financial stability, as well as efficient government bond markets.
| Author | : M. Ayhan Kose |
| Publisher | : World Bank Publications |
| Total Pages | : 403 |
| Release | : 2021-03-03 |
| Genre | : Business & Economics |
| ISBN | : 1464815453 |
The global economy has experienced four waves of rapid debt accumulation over the past 50 years. The first three debt waves ended with financial crises in many emerging market and developing economies. During the current wave, which started in 2010, the increase in debt in these economies has already been larger, faster, and broader-based than in the previous three waves. Current low interest rates mitigate some of the risks associated with high debt. However, emerging market and developing economies are also confronted by weak growth prospects, mounting vulnerabilities, and elevated global risks. A menu of policy options is available to reduce the likelihood that the current debt wave will end in crisis and, if crises do take place, will alleviate their impact.
| Author | : Mr.Timothy D. Lane |
| Publisher | : International Monetary Fund |
| Total Pages | : 50 |
| Release | : 1992-06-01 |
| Genre | : Business & Economics |
| ISBN | : 1451846150 |
Under what circumstances can market forces prevent unsustainable borrowing? Effective market discipline requires that capital markets be open, that; information on the borrower’s existing liabilities be readily available, that no bailout be anticipated, and that the borrower respond to market signals. This paper explores the implications of these conditions, and reviews some relevant empirical evidence.
| Author | : |
| Publisher | : |
| Total Pages | : 620 |
| Release | : 1992 |
| Genre | : Finance |
| ISBN | : |
| Author | : |
| Publisher | : |
| Total Pages | : 754 |
| Release | : 1991 |
| Genre | : Electronic journals |
| ISBN | : |
Earlier place of publication varies.
| Author | : |
| Publisher | : Lulu.com |
| Total Pages | : 294 |
| Release | : 2004 |
| Genre | : Bank capital |
| ISBN | : 9291316695 |
