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The Impact of Macroeconomic Announcementson Emerging Market Bonds

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Author Info

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

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

Paper provided by International Monetary Fund in its series IMF Working Papers with number 05/83.

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Length: 31
Date of creation: 01 Apr 2005
Date of revision:
Handle: RePEc:imf:imfwpa:05/83

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Keywords: Announcements; bond; equation; bonds; financial markets; anova; statistic; independent variables; dummy variables; standard errors; bond markets; bond market; equations; independent variable; market bond; bond spreads; emerging market bonds; emerging market bond; statistics; bond prices; treasury bond; stock market; outliers; dummy variable; emerging bond markets; global bond; surveys; international bond; standard deviations; international financial markets; sovereign bonds; autocorrelation; time series; reserve requirements; econometrics; global bond market; treasury bonds; stock prices; constant variance; survey; bond index; financial economics; standard deviation; bond returns; deposit interest rates; correlation; stock returns; lagrange multiplier test; measurement errors; brady bonds; bond funds; statistical data; statistical information; stock markets; bond futures; high-yield bond; index bond; stock market index; eurobonds; global bond markets; international bonds; brady bond; deposit interest; statistical significance; bond investors; dollar bond; fitted value; financial stability; futures market; covariance; computation; sovereign bond; random error; constant mean; predictions; dollar bonds; maximum likelihood method;

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References

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