Emerging market sovereign bond spreads: estimation and back-testing
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
[Place of publication not identified]
International Monetary Fund
2012
|
| Schriftenreihe: | IMF working paper
WP/12/212 |
| Schlagworte: | |
| Online-Zugang: | FAW01 FAW02 FLA01 |
| Beschreibung: | Includes bibliographical references 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 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 periods. During crisis times, good macroeconomic fundamentals are helpful in containing bond spreads, but less than in non-crisis times, possibly reflecting the impact of extra-economic forces on bond spreads when a financial crisis occurs |
| ISBN: | 1475542526 9781475542523 9781475514315 147551431X |
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| 100 | 1 | |a Comelli, Fabio |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Emerging market sovereign bond spreads |b estimation and back-testing |c [prepared by] Fabio Comelli |
| 264 | 1 | |a [Place of publication not identified] |b International Monetary Fund |c 2012 | |
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| 500 | |a Includes bibliographical references | ||
| 500 | |a 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? | ||
| 500 | |a 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) | ||
| 500 | |a 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 | ||
| 500 | |a 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 | ||
| 500 | |a 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 | ||
| 500 | |a 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 periods. During crisis times, good macroeconomic fundamentals are helpful in containing bond spreads, but less than in non-crisis times, possibly reflecting the impact of extra-economic forces on bond spreads when a financial crisis occurs | ||
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| 650 | 4 | |a Wirtschaft | |
| 650 | 4 | |a Ökonometrisches Modell | |
| 650 | 4 | |a Government securities |z Developing countries | |
| 650 | 4 | |a Government securities |z Developing countries |x Econometric models | |
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Datensatz im Suchindex
| _version_ | 1804176624329949184 |
|---|---|
| any_adam_object | |
| author | Comelli, Fabio |
| author_facet | Comelli, Fabio |
| author_role | aut |
| author_sort | Comelli, Fabio |
| author_variant | f c fc |
| building | Verbundindex |
| bvnumber | BV043787486 |
| collection | ZDB-4-EBA |
| ctrlnum | (ZDB-4-EBA)ocn903698733 (OCoLC)903698733 (DE-599)BVBBV043787486 |
| dewey-full | 332.152 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.152 |
| dewey-search | 332.152 |
| dewey-sort | 3332.152 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV043787486 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:35:08Z |
| institution | BVB |
| isbn | 1475542526 9781475542523 9781475514315 147551431X |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-029198545 |
| oclc_num | 903698733 |
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| publishDate | 2012 |
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| publisher | International Monetary Fund |
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| spelling | Comelli, Fabio Verfasser aut Emerging market sovereign bond spreads estimation and back-testing [prepared by] Fabio Comelli [Place of publication not identified] International Monetary Fund 2012 txt rdacontent c rdamedia cr rdacarrier IMF working paper WP/12/212 Includes bibliographical references 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 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 periods. During crisis times, good macroeconomic fundamentals are helpful in containing bond spreads, but less than in non-crisis times, possibly reflecting the impact of extra-economic forces on bond spreads when a financial crisis occurs BUSINESS & ECONOMICS / Finance bisacsh Government securities fast Government securities / Econometric models fast Entwicklungsländer Wirtschaft Ökonometrisches Modell Government securities Developing countries Government securities Developing countries Econometric models State bonds Econometric models |
| spellingShingle | Comelli, Fabio Emerging market sovereign bond spreads estimation and back-testing BUSINESS & ECONOMICS / Finance bisacsh Government securities fast Government securities / Econometric models fast Entwicklungsländer Wirtschaft Ökonometrisches Modell Government securities Developing countries Government securities Developing countries Econometric models State bonds Econometric models |
| title | Emerging market sovereign bond spreads estimation and back-testing |
| title_auth | Emerging market sovereign bond spreads estimation and back-testing |
| title_exact_search | Emerging market sovereign bond spreads estimation and back-testing |
| title_full | Emerging market sovereign bond spreads estimation and back-testing [prepared by] Fabio Comelli |
| title_fullStr | Emerging market sovereign bond spreads estimation and back-testing [prepared by] Fabio Comelli |
| title_full_unstemmed | Emerging market sovereign bond spreads estimation and back-testing [prepared by] Fabio Comelli |
| title_short | Emerging market sovereign bond spreads |
| title_sort | emerging market sovereign bond spreads estimation and back testing |
| title_sub | estimation and back-testing |
| topic | BUSINESS & ECONOMICS / Finance bisacsh Government securities fast Government securities / Econometric models fast Entwicklungsländer Wirtschaft Ökonometrisches Modell Government securities Developing countries Government securities Developing countries Econometric models State bonds Econometric models |
| topic_facet | BUSINESS & ECONOMICS / Finance Government securities Government securities / Econometric models Entwicklungsländer Wirtschaft Ökonometrisches Modell Government securities Developing countries Government securities Developing countries Econometric models State bonds Econometric models |
| work_keys_str_mv | AT comellifabio emergingmarketsovereignbondspreadsestimationandbacktesting |