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The impact of macroeconomic announcements on emerging market bonds

Author: Jochen R Andritzky; Geoffrey J Bannister; Natalia T Tamirisa; International Monetary Fund. Policy Development and Review Department,
Publisher: Washington, D.C. : International Monetary Fund, Policy Development and Review Dept., ©2005.
Series: IMF working paper (Online), no. 05/83.
Edition/Format:   eBook : Document : International government publication : EnglishView all editions and formats
Database:WorldCat
Summary:
This paper examines how emerging bond markets react to macroeconomic announcements. Global bond spreads respond to rating actions and changes in global interest rates rather than domestic data and policy announcements. All announcements affect market volatility. Data and policy announcements reduce uncertainty and stabilize the trading environment, while rating actions cause greater volatility. Results are broadly  Read more...
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Genre/Form: Electronic books
Material Type: Document, Government publication, International government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Jochen R Andritzky; Geoffrey J Bannister; Natalia T Tamirisa; International Monetary Fund. Policy Development and Review Department,
ISBN: 1283511665 9781283511667 9781451906387 1451906382
OCLC Number: 234094825
Notes: Title from title screen (viewed July 16, 2008).
"April 2005."
Description: 1 online resource (31 pages).
Series Title: IMF working paper (Online), no. 05/83.
Responsibility: prepared by Jochen R. Andritzky, Geoffrey J. Bannister, and Natalia T. Tamirisa.

Abstract:

This paper examines how emerging bond markets react to macroeconomic announcements. Global bond spreads respond to rating actions and changes in global interest rates rather than domestic data and policy announcements. All announcements affect market volatility. Data and policy announcements reduce uncertainty and stabilize the trading environment, while rating actions cause greater volatility. Results are broadly robust to country-specific and panel analyses, assuming conditional variance and controlling for the surprise content of news. In subsamples, announcements are found to matter less for countries with more transparent policies and higher credit ratings. In a crisis, rating actions become less important, and investors focus more on simple and timely indicators, like CPI.

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