The impact of macroeconomic announcements on emerging market bonds
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Author
Contributions
- Bannister, Geoffrey J. - Contributor
- Tamirisa, Natalia T. - Contributor
- International Monetary Fund. Policy Development and Review Dept. - Contributor
Publication
2005 - International Monetary Fund, Policy Development and Review Dept., Washington, D.C, District of Columbia
Language
English
Word Count
7,750 words, Guess
Page Count
31 pages
Identifiers
- Better World Books9781452760261
- Better World Books9781451861020
- Better World Books9781451906387
- Open LibraryOL19851860M
Classifications
- LCCHG173
Description
This paper examines how emerging bond markets react to macroeconomic announcements. Global bond spreads respond to rating actions and changes in global interest rates rather than domestic data and policy announcements. All announcements affect market volatility. Data and policy announcements reduce uncertainty and stabilize the trading environment, while rating actions cause greater volatility. Results are broadly robust to country-specific and panel analyses, assuming conditional variance and controlling for the surprise content of news. In subsamples, announcements are found to matter less for countries with more transparent policies and higher credit ratings. In a crisis, rating actions become less important, and investors focus more on simple and timely indicators, like CPI.
Subjects
Series Statement
- IMF working paper -- WP/05/83
Links
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