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How Private Creditors Fared in Emerging Debt Markets, 1970-2000Christoph A. KlingenInternational Monetary Fund (IMF) - European Department Beatrice WederUniversity of Mainz - Department of Economics Jeromin ZettelmeyerEuropean Bank for Reconstruction and Development; CEPR January 2004 IMF Working Paper No. WP/04/13 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.
Number of Pages in PDF File: 60 Keywords: sovereign debt, crises, returns capital flows JEL Classification: F21, F34 working papers seriesDate posted: February 15, 2006Suggested CitationContact Information
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