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How Private Creditors Fared in Emerging Debt Markets, 1970-2000


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  • Jeromin Zettelmeyer
  • Beatrice Weder
  • Christoph Klingen


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.

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Paper provided by International Monetary Fund in its series IMF Working Papers with number 04/13.

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Length: 60
Date of creation: 01 Jan 2004
Date of revision:
Handle: RePEc:imf:imfwpa:04/13

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Keywords: Sovereign debt; Capital flows; Emerging markets; debt; bonds; bond; creditors; debt stock; long term debt; short term debt; interest; bond prices; loans; debt flows; payments; debt stocks; corporate bonds; external debt; stock returns; brady bond; brady bonds; debt restructuring; high-yield bonds; currency valuation; treasury bonds; debt consolidation; repayment; restructuring; government bond; creditor; bond returns; stock markets; debtor countries; equity markets; debtors; stock market; stock-flow reconciliation; cross-currency valuation; debt service; defaults; government bonds; ppg debt; debt instruments; world stock markets; bond issues; debt outstanding; corporate bond; debtor reporting; bank loans; bond yields; debt stock outstanding; bailouts; discount ? bonds; bond market; high-yield bond; international bonds; interest rate risk; risk premium; dollar bonds; long term debt stock; outstanding debt; treasury bond; corporate bond returns; currency valuation adjustments; world debt tables; bond rates; bond index; moral hazard; debt buy back; default risk; emerging stock markets; stock of debt; stock adjustments; public debt; world stock market; equity market; market bond; bond markets; discount bonds; bond indices; cash flows; emerging market bond; bond price; debt crises; debt stock-flow reconciliation; debt forgiveness; liabilities; international debt; coupon bonds; zero coupon bonds; emerging market bonds; eurobonds; par bonds; debt problems; debt stock reduction; financial economics; asset markets; yield curve; market discount; bond issue; outstanding debt stocks; debt stock reductions; global ? bond; stock-flow discrepancies; debt conversion; bond stock; international capital markets; coupon bond; international bond; interest capitalization; secondary markets; global bond indices; currency of denomination; commercial bank debt; domestic government bonds; bond categories; c-bonds; debts; internal rate of return; bond holders; international capital; emerging bond markets; international bond issues; high-yield corporate bonds; corporate bond index; international finance; financial assets; financial market; emerging bond market; bond disbursements; government bond yields; global ? bond index; guaranteed bonds; outstanding debt stock; returns on bonds; private nonguaranteed debt; high yield bonds; private debt; bond return; par ? bonds; sterling bonds; debt reduction; debt end-stock; stock-flow identity; stock market decline; global bond; international financial architecture; bond price aggregation; emerging markets stock; debt swaps; equity] market;

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  1. G. Andrew Karolyi & Rene M. Stulz, 2002. "Are Financial Assets Priced Locally or Globally?," NBER Working Papers 8994, National Bureau of Economic Research, Inc.
  2. Goetzmann, William N. & Jorion, Philippe, 1999. "Re-Emerging Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 34(01), pages 1-32, March.
  3. K. Geert Rouwenhorst, 1999. "Local Return Factors and Turnover in Emerging Stock Markets," Journal of Finance, American Finance Association, American Finance Association, vol. 54(4), pages 1439-1464, 08.
  4. Edwin J. Elton, 2001. "Explaining the Rate Spread on Corporate Bonds," Journal of Finance, American Finance Association, American Finance Association, vol. 56(1), pages 247-277, 02.
  5. Harvey, Campbell R, 1995. "The Risk Exposure of Emerging Equity Markets," World Bank Economic Review, World Bank Group, World Bank Group, vol. 9(1), pages 19-50, January.
  6. Giovanni Dell'Ariccia & Jeromin Zettelmeyer & Isabel Schnabel, 2002. "Moral Hazard and International Crisis Lending: A Test," IMF Working Papers 02/181, International Monetary Fund.
  7. Michael Dooley & Richard D. Haas & Steven Symansky, 1993. "A Note on Burden Sharing among Creditors," IMF Staff Papers, Palgrave Macmillan, vol. 40(1), pages 226-232, March.
  8. Rogoff, Kenneth, 1990. "Symposium on New Institutions for Developing Country Debt," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 4(1), pages 3-6, Winter.
  9. Bulow, Jeremy & Rogoff, Kenneth, 1990. "Cleaning Up Third World Debt without Getting Taken to the Cleaners," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 4(1), pages 31-42, Winter.
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