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

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Author Info
Christoph Klingen
Jeromin Zettelmeyer
Beatrice Weder

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Abstract

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: 59 pages
Date of creation: 09 Feb 2004
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Handle: RePEc:imf:imfwpa:04/13

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Keywords: Debt ; Capital flows ; emerging markets ;

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  1. Edwin J. Elton, 2001. "Explaining the Rate Spread on Corporate Bonds," Journal of Finance, American Finance Association, vol. 56(1), pages 247-277, 02. [Downloadable!] (restricted)
  2. K. Geert Rouwenhorst, 1999. "Local Return Factors and Turnover in Emerging Stock Markets," Journal of Finance, American Finance Association, vol. 54(4), pages 1439-1464, 08. [Downloadable!] (restricted)
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  3. Rogoff, Kenneth, 1990. "Symposium on New Institutions for Developing Country Debt," Journal of Economic Perspectives, American Economic Association, vol. 4(1), pages 3-6, Winter. [Downloadable!] (restricted)
  4. Isabel Schnabel & Giovanni Dell'Ariccia & Jeromin Zettelmeyer, 2002. "Moral Hazard and International Crisis Lending: A Test," IMF Working Papers 02/181, International Monetary Fund. [Downloadable!]
  5. Bulow, Jeremy & Rogoff, Kenneth, 1990. "Cleaning Up Third World Debt without Getting Taken to the Cleaners," Journal of Economic Perspectives, American Economic Association, vol. 4(1), pages 31-42, Winter. [Downloadable!] (restricted)
  6. Richard D. Haas & Steven A. Symansky & Michael P. Dooley, 1992. "A Note on Burden Sharing Among Creditors," IMF Working Papers 92/21, International Monetary Fund.
  7. Harvey, Campbell R, 1995. "The Risk Exposure of Emerging Equity Markets," World Bank Economic Review, Oxford University Press, vol. 9(1), pages 19-50, January.
  8. G. Andrew Karolyi & Rene M. Stulz, 2002. "Are Financial Assets Priced Locally or Globally?," NBER Working Papers 8994, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  9. Philippe Jorion & William N. Goetzmann, 1998. "Re-Emerging Markets," Yale School of Management Working Papers ysm111, Yale School of Management. [Downloadable!]
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  1. Jeanne, Olivier & Rancière, Romain, 2008. "The Optimal Level of International Reserves For Emerging Market Countries: A New Formula and Some Applications," CEPR Discussion Papers 6723, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  2. Hausmann, Ricardo & Sturzenegger, Federico, 2006. "Global Imbalances or Bad Accounting? The Missing Dark Matter in the Wealth of Nations," Working Paper Series rwp06-003, Harvard University, John F. Kennedy School of Government. [Downloadable!]
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