How Private Creditors Fared in Emerging Debt Markets, 1970-2000
AbstractWe 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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Bibliographic InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 04/13.
Date of creation: 01 Jan 2004
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Other versions of this item:
- Klingen, Christoph & Weder di Mauro, Beatrice & Zettelmeyer, Jeronimo, 2004. "How Private Creditors Fared in Emerging Debt Markets, 1970-2000," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4374, C.E.P.R. Discussion Papers.
- F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
- F34 - International Economics - - International Finance - - - International Lending and Debt Problems
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-10-22 (All new papers)
- NEP-FIN-2005-10-22 (Finance)
- NEP-FMK-2005-10-22 (Financial Markets)
- NEP-HIS-2005-10-22 (Business, Economic & Financial History)
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