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

62 Pages Posted: 2 Jun 2004

See all articles by Christoph A. Klingen

Christoph A. Klingen

International Monetary Fund (IMF) - European Department

Beatrice Weder di Mauro

Graduate Institute Geneva, IHEID

Jeromin Zettelmeyer

Peter G. Peterson Institute for International Economics; CEPR

Multiple version iconThere are 3 versions of this paper

Date Written: May 2004

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% per annum, about the same as returns on a ten-year US 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 US corporate or high-yield bonds. Unlike returns on these bonds, however, emerging market debt returns do not seem significantly correlated with US or world stock markets.

Keywords: Sovereign debt, crises, returns capital flows

JEL Classification: F21, F34

Suggested Citation

Klingen, Christoph A. and Weder di Mauro, Beatrice and Zettelmeyer, Jeromin, How Private Creditors Fared in Emerging Debt Markets, 1970-2000 (May 2004). CEPR Discussion Paper No. 4374. Available at SSRN: https://ssrn.com/abstract=552225

Christoph A. Klingen (Contact Author)

International Monetary Fund (IMF) - European Department ( email )

700 19th Street NW
Washington, DC 20431
United States

Beatrice Weder di Mauro

Graduate Institute Geneva, IHEID ( email )

Geneva Avenue de la Paix 11A
Geneva, 1202
Switzerland
1211 (Fax)

Jeromin Zettelmeyer

Peter G. Peterson Institute for International Economics ( email )

1750 Massachusetts Avenue, NW
Washington, DC 20036
United States

CEPR ( email )

London
United Kingdom

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