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The impact of macroeconomic announcements on emerging market bonds

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  • Andritzky, Jochen R.
  • Bannister, Geoffrey J.
  • Tamirisa, Natalia T.

Abstract

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.

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Bibliographic Info

Article provided by Elsevier in its journal Emerging Markets Review.

Volume (Year): 8 (2007)
Issue (Month): 1 (March)
Pages: 20-37

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Handle: RePEc:eee:ememar:v:8:y:2007:i:1:p:20-37

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Web page: http://www.elsevier.com/locate/inca/620356

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References

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Citations

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Cited by:
  1. Dreher, Axel & Moser, Christoph, 2008. "Do Markets Care About Central Bank Governor Changes? Evidence from Emerging Markets," Proceedings of the German Development Economics Conference, Zurich 2008 29, Verein für Socialpolitik, Research Committee Development Economics.
  2. Bernd Hayo & Ali M. Kutan & Matthias Neuenkirch, 2012. "Federal Reserve Communications and Emerging Equity Markets," Southern Economic Journal, Southern Economic Association, vol. 78(3), pages 1041-1056, January.
  3. Mihaela NICOLAU, 2010. "Financial Markets Interactions between Economic Theory and Practice," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 2, pages 27-36.
  4. Fatih Ozatay & Erdal Ozmen & Gulbin Sahinbeyoglu, 2008. "Emerging Market Sovereign Spreads, Global Financial Conditions and US Macroeconomic News," Working Papers 400, Economic Research Forum, revised May 2008.
  5. Habib Rahman & Hasan Mohsin, 2011. "Monetary Policy Announcements and Stock Returns: Evidence from the Pakistani Market," Transition Studies Review, Springer, vol. 18(2), pages 342-360, December.
  6. Ramon Moreno, 2008. "Monetary policy transmission and the long-term interest rate in emerging markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Transmission mechanisms for monetary policy in emerging market economies, volume 35, pages 61-79 Bank for International Settlements.
  7. D B�ttner & B. Hayo, 2012. "EMU-related news and financial markets in the Czech Republic, Hungary and Poland," Applied Economics, Taylor and Francis Journals, vol. 44(31), pages 4037-4053, November.
  8. Garima Vasishtha & Taimur Baig & Manmohan S. Kumar & Edda Zoli, 2006. "Fiscal and Monetary Nexus in Emerging Market Economies: How Does Debt Matter?," IMF Working Papers 06/184, International Monetary Fund.
  9. Moser, Christoph, 2007. "The Impact of Political Risk on Sovereign Bond Spreads - Evidence from Latin America," Proceedings of the German Development Economics Conference, Göttingen 2007 24, Verein für Socialpolitik, Research Committee Development Economics.
  10. Nowak, Sylwia & Andritzky, Jochen & Jobst, Andreas & Tamirisa, Natalia, 2011. "Macroeconomic fundamentals, price discovery, and volatility dynamics in emerging bond markets," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2584-2597, October.
  11. Pierre L. Siklos, 2008. "Determinants of Emerging Market Spreads: Domestic, Global Factors, and Volatility," Working Papers 182008, Hong Kong Institute for Monetary Research.
  12. Al-Sakka, Rasha & ap Gwilym, Owain, 2009. "Heterogeneity of sovereign rating migrations in emerging countries," Emerging Markets Review, Elsevier, vol. 10(2), pages 151-165, June.
  13. Jorge Selaive C. & Valentín Délano T., 2006. "Sovereign Spreads: A Factorial Approach," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 9(1), pages 49-67, April.
  14. Tho Nguyen, 2011. "US macroeconomic news spillover effects on Vietnamese stock market," Journal of Risk Finance, Emerald Group Publishing, vol. 11(5), pages 389-399, November.
  15. Al-Sakka, Rasha & ap Gwilym, Owain, 2010. "Split sovereign ratings and rating migrations in emerging economies," Emerging Markets Review, Elsevier, vol. 11(2), pages 79-97, June.
  16. Tho D.Q. Nguyen & Jian Wu, 2010. "Spillover impacts of the US macroeconomic news: Australian sectoral perspective," Economics Bulletin, AccessEcon, vol. 30(3), pages 1753-1771.
  17. Rocha, Katia & Moreira, Ajax, 2010. "The role of domestic fundamentals on the economic vulnerability of emerging markets," Emerging Markets Review, Elsevier, vol. 11(2), pages 173-182, June.

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