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Haircuts; Estimating Investor Losses in Sovereign Debt Restructurings, 1998-2005

Zettelmeyer, Jeromin; Sturzenegger, Federico - International Monetary Fund (IMF) - 2005

This paper estimates bond-by-bond "haircuts"-realized investor losses-in recent debt restructurings in Russia, Ukraine …

Persistent link: https://www.econbiz.de/10005825806

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

Zettelmeyer, Jeromin; Weder, Beatrice; Klingen, Christoph - International Monetary Fund (IMF) - 2004

bond. This reflects the combined effect of the 1980s debt crisis and much higher returns during 1989-2000. Annual returns …

Persistent link: https://www.econbiz.de/10005264003

Emerging market sovereign bond spreads : estimation and back-testing

Comelli, Fabio - 2012

We estimate sovereign bond spreads of 28 emerging economies over the period January 1998-December 2011 and test the … ability of the model in generating accurate in-sample predictions for emerging economies bond spreads. The impact and … significance of country-specific and global explanatory variables on bond spreads varies across regions, as well as economic …

Persistent link: https://www.econbiz.de/10009621639

Long-Term Debt and Short-Term Rates : Fixed-Rate Mortgages and Monetary Transmission

De Stefani, Alessia - 2025

We study the two-way relationship between fixed-rate mortgages (FRMs) and monetary policy in a panel of up to 35 countries over the last two decades. The dataset includes quarterly information on the composition of mortgage flows and stock by type of rate-fixation and monetary policy shocks...

Persistent link: https://www.econbiz.de/10015328148

Emerging Market Spread Compression

Kodres, Laura E. - 2008

in credit ratings, are very important, but that expectations of future U.S. interest rates and volatility in those …

Persistent link: https://www.econbiz.de/10012677558

Credit Risk Spreads in Local and Foreign Currencies

Wiener, Zvi - 2009

The paper shows how-in a Merton-type model with bankruptcy-the currency composition of debt changes the risk profile of a company raising a given amount of financing, and thus affects the cost of debt. Foreign currency borrowing is cheaper when the exchange rate is positively correlated with the...

Persistent link: https://www.econbiz.de/10012677782

Government Debt and Long-Term Interest Rates.

Kinoshita, Noriaki - 2006

Intro -- Contents -- I. INTRODUCTION -- II. AN OVERVIEW OF THE LITERATURE -- III. THEORETICAL ANALYSIS -- IV. EMPIRICAL EVIDENCE -- V. CONCLUSION -- References -- DERIVATION OF DYNAMIC EQUILIBRIUM CONDITIONS -- DATA SOURCES AND DEFINITIONS.

Persistent link: https://www.econbiz.de/10012690989

Perspectives on Low Global Interest Rates.

Catão, Luis - 2006

Intro -- Contents -- I. INTRODUCTION -- II. SOME HISTORICAL PERSPECTIVE -- III. SIMPLE ANALYTICS OF GLOBAL INTEREST RATE DETERMINATION -- IV. AN ASSET-PRICING PERSPECTIVE -- V. ECONOMETRIC EVIDENCE -- VI. CONCLUSIONS -- APPENDIX I. THEORETICAL FRAMEWORK -- REFERENCES.

Persistent link: https://www.econbiz.de/10012691062

Banking Spreads in Latin America.

Gelos, Gaston - 2006

Persistent link: https://www.econbiz.de/10012691173

Monetary Policy Regime and Banking Spreads in Barbados.

Samuel, Wendell A. - 2006

Intro -- Contents -- I. INTRODUCTION -- II. STYLIZED FACTS -- III. LITERATURE REVIEW ON THE DETERMINATION OF SPREADS -- IV. BANK SPREADS AND MACROECONOMIC PERFORMANCE -- V. BANK SPREADS IN THE CARIBBEAN: SOME PRELIMINARY EMPIRICS -- VI. ECONOMETRIC ESTIMATION OF BANK SPREADS IN THE CARIBBEAN --...

Persistent link: https://www.econbiz.de/10012691192

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