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Impact of IMF-related news on capital markets: Further evidence from bond spreads in Indonesia and Korea

  • Evrensel, Ayse Y.
  • Kutan, Ali M.

The IMF's effects on private capital markets have attracted increasing attention in the literature. This paper examines whether IMF-related news during the Asian crisis contains information regarding the changes in sovereign bond spreads of Indonesia and Korea. Our results indicate that other countries' IMF-related news increases these countries' bond spreads. Both in Indonesia and Korea, the countries' own news associated with program negotiations and approval decreases bond spreads. With respect to the interpretations of the impact of IMF news on private capital markets, we show that the current interpretations vary and identify this issue as an important future research agenda.

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Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

Volume (Year): 18 (2008)
Issue (Month): 2 (April)
Pages: 147-160

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Handle: RePEc:eee:intfin:v:18:y:2008:i:2:p:147-160
Contact details of provider: Web page: http://www.elsevier.com/locate/intfin

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  1. Sander, Harald & Kleimeier, Stefanie, 2003. "Contagion and causality: an empirical investigation of four Asian crisis episodes," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(2), pages 171-186, April.
  2. Barry Eichengreen, 2005. "The IMF in a World of Private Capital Markets," Working Papers id:48, eSocialSciences.
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  5. Ali Kutan & Brasukra Sudjana, 2003. "Investor reaction to IMF actions in the indonesian financial crisis," Journal of Economic Policy Reform, Taylor & Francis Journals, vol. 6(3), pages 181-190.
  6. Hayo, Bernd & Kutan, Ali M., 2005. "IMF-related news and emerging financial markets," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1126-1142, November.
  7. Longstaff, Francis A & Schwartz, Eduardo S, 1995. " A Simple Approach to Valuing Risky Fixed and Floating Rate Debt," Journal of Finance, American Finance Association, vol. 50(3), pages 789-819, July.
  8. Ashoka Mody & Barry J. Eichengreen & Kenneth Kletzer, 2005. "The IMF in a World of Private Capital Markets," IMF Working Papers 05/84, International Monetary Fund.
  9. Kanokwan Chancharoenchai & Sel Dibooglu, 2006. "Volatility Spillovers and Contagion During the Asian Crisis: Evidence from Six Southeast Asian Stock Markets," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 42(2), pages 4-17, April.
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  11. repec:ner:tilbur:urn:nbn:nl:ui:12-3125518 is not listed on IDEAS
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