Emerging market sovereign bond spreads : estimation and back-testing /

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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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Comelli, Fabio (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: [Place of publication not identified] : International Monetary Fund, 2012.
Colección:IMF working paper ; WP/12/212.
Temas:
Government securities > Developing countries.
Government securities > Developing countries > Econometric models.
State bonds > Econometric models.
Obligations d'États fédérés > Modèles économétriques.
BUSINESS & ECONOMICS > Finance.
Government securities.
Government securities > Econometric models.
Developing countries.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Cover; Contents; I. Introduction; II. Literature; III. The data; A. Emerging Market Sovereign Bond Spreads Data; B. Pull Factors Data; Political Risk Rating (PRR); Economic Risk Rating (ERR); Financial Risk Rating (FRR); C. Push Factors Data; IV. The Model; V. Regression Results; A. Baseline regression; B. Global Abundant Liquidity and Global Financial Crisis; Tables; Table 1. Sovereign Bond Spreads: Coefficient Estimates, All Emerging Market Economies; C. Regional Subgroups; D. How Do Fitted Bond Spreads Compare With Actual Bond Spreads?
  • Table 2. Sovereign Bond Spreads: Coefficient Estimates Across EM Regions. Figures; Panel 1. Actual and Fitted Sovereign Bond Spreads (basis points); Panel 2. Actual and Fitted Sovereign Bond Spreads: (basis points); E. Robustness Checks; Table 3. Sovereign Bond Spreads: Coefficient Estimates, Robustness Checks; Panel 3. Actual and Fitted Sovereign Bond Spreads (Basis points); F. Simulating an Improvement in Country-specific Variables on Bond Spreads; Table 4. Impact of one-standard deviation change on the model spread (Percent).
  • Panel 4. Impact on the Model Spread Provoked by a One-standard Deviation ChangeVI. Back-testing the Model; A. Linear Prediction Method; B. Rolling Regression Method; Table 5. Probabilities that the linear prediction method correctly predicts (i) the; Table 6. Probabilities that the rolling regression (RR1) method correctly predicts; C. Comparing Competing Forecasts; Table 7. Measuring the accuracy of bond spread forecasts with the Diebold-Mariano; VII. Concluding Remarks; References; Appendixes; A. Tables; Appendix Tables.
  • Table A1. Probabilities that the rolling regression (RR2) method correctly predictsTable A2. Comparing rolling regression and linear prediction forecasts with the Diebold- Mariano test; Table A3. Mean Square Error, Mean Absolute Error and Theil's U Statistics for the rolling regression (RR1) method; Table A4. Mean Square Error, Mean Absolute Error and Theil's U Statistics for the rolling regression (RR2) method; B. Charts; Panel A1. Emerging Market Sovereign Bond Spreads: Actual, Fitted and Residuals; Panel A2: Emerging Markets Sovereign Bond Spread Tracker: January 1998
  • December 2001.
  • Panel A3: Emerging Markets Sovereign Bond Spread Tracker: January 2002
  • December 2005Panel A4: Emerging Markets Sovereign Bond Spread Tracker: January 2006
  • December 2009; Panel A5: Emerging Markets Sovereign Bond Spread Tracker: January 2010
  • December 2011.

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