Emerging market sovereign bond spreads :: estimation and back-testing /
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...
Gespeichert in:
| 1. Verfasser: | |
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| 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: | Volltext |
| Zusammenfassung: | 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. |
| Beschreibung: | 1 online resource : illustrations |
| Bibliographie: | Includes bibliographical references. |
| ISBN: | 1475542526 9781475542523 9781475514315 147551431X 1475505620 9781475505627 1475510373 9781475510379 |
Internformat
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| 100 | 1 | |a Comelli, Fabio, |e author. | |
| 245 | 1 | 0 | |a Emerging market sovereign bond spreads : |b estimation and back-testing / |c [prepared by] Fabio Comelli. |
| 260 | |a [Place of publication not identified] : |b International Monetary Fund, |c 2012. | ||
| 300 | |a 1 online resource : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
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| 490 | 1 | |a IMF working paper ; |v WP/12/212 | |
| 504 | |a Includes bibliographical references. | ||
| 505 | 0 | |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? | |
| 505 | 8 | |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). | |
| 505 | 8 | |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. | |
| 505 | 8 | |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. | |
| 505 | 8 | |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. | |
| 520 | |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. | ||
| 546 | |a English. | ||
| 650 | 0 | |a Government securities |z Developing countries. | |
| 650 | 0 | |a Government securities |z Developing countries |x Econometric models. | |
| 650 | 0 | |a State bonds |x Econometric models. | |
| 650 | 6 | |a Obligations d'États fédérés |x Modèles économétriques. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
| 650 | 7 | |a Government securities |2 fast | |
| 650 | 7 | |a Government securities |x Econometric models |2 fast | |
| 651 | 7 | |a Developing countries |2 fast | |
| 758 | |i has work: |a Emerging market sovereign bond spreads (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGXY7BytD9tXVxvjXTfCkP |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Comelli, Fabio. |t Emerging Market Sovereign Bond Spreads: Estimation and Back-testing. |d Washington : International Monetary Fund, ©2012 |z 9781475505627 |
| 830 | 0 | |a IMF working paper ; |v WP/12/212. |0 http://id.loc.gov/authorities/names/no89010263 | |
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Datensatz im Suchindex
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| adam_text | |
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| author | Comelli, Fabio |
| author_facet | Comelli, Fabio |
| author_role | aut |
| author_sort | Comelli, Fabio |
| author_variant | f c fc |
| building | Verbundindex |
| bvnumber | localFWS |
| callnumber-first | H - Social Science |
| callnumber-label | HG3881 |
| callnumber-raw | HG3881.5.I58 |
| callnumber-search | HG3881.5.I58 |
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| callnumber-subject | HG - Finance |
| collection | ZDB-4-EBA |
| contents | 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. |
| ctrlnum | (OCoLC)903698733 |
| 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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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?</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="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).</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="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.</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="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.</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="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.</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="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.</subfield></datafield><datafield tag="546" ind1=" " ind2=" "><subfield code="a">English.</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Government securities</subfield><subfield code="z">Developing countries.</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Government securities</subfield><subfield code="z">Developing countries</subfield><subfield code="x">Econometric models.</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">State bonds</subfield><subfield code="x">Econometric models.</subfield></datafield><datafield tag="650" ind1=" " ind2="6"><subfield code="a">Obligations d'États fédérés</subfield><subfield code="x">Modèles économétriques.</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">BUSINESS & ECONOMICS</subfield><subfield code="x">Finance.</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Government securities</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Government securities</subfield><subfield code="x">Econometric models</subfield><subfield code="2">fast</subfield></datafield><datafield tag="651" ind1=" " ind2="7"><subfield code="a">Developing countries</subfield><subfield code="2">fast</subfield></datafield><datafield tag="758" ind1=" " ind2=" "><subfield code="i">has work:</subfield><subfield code="a">Emerging market sovereign bond spreads (Text)</subfield><subfield code="1">https://id.oclc.org/worldcat/entity/E39PCGXY7BytD9tXVxvjXTfCkP</subfield><subfield code="4">https://id.oclc.org/worldcat/ontology/hasWork</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Print version:</subfield><subfield code="a">Comelli, Fabio.</subfield><subfield code="t">Emerging Market Sovereign Bond Spreads: Estimation and Back-testing.</subfield><subfield code="d">Washington : International Monetary Fund, ©2012</subfield><subfield code="z">9781475505627</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">IMF working paper ;</subfield><subfield code="v">WP/12/212.</subfield><subfield code="0">http://id.loc.gov/authorities/names/no89010263</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="l">FWS01</subfield><subfield code="p">ZDB-4-EBA</subfield><subfield code="q">FWS_PDA_EBA</subfield><subfield code="u">https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=568144</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">EBL - Ebook Library</subfield><subfield code="b">EBLB</subfield><subfield code="n">EBL1606956</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">ebrary</subfield><subfield code="b">EBRY</subfield><subfield code="n">ebr10627057</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">EBSCOhost</subfield><subfield code="b">EBSC</subfield><subfield code="n">568144</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">YBP Library Services</subfield><subfield code="b">YANK</subfield><subfield code="n">10691548</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">YBP Library Services</subfield><subfield code="b">YANK</subfield><subfield code="n">9927174</subfield></datafield><datafield tag="994" ind1=" " ind2=" "><subfield code="a">92</subfield><subfield code="b">GEBAY</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-4-EBA</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-863</subfield></datafield></record></collection> |
| geographic | Developing countries fast |
| geographic_facet | Developing countries |
| id | ZDB-4-EBA-ocn903698733 |
| illustrated | Illustrated |
| indexdate | 2024-11-27T13:26:29Z |
| institution | BVB |
| isbn | 1475542526 9781475542523 9781475514315 147551431X 1475505620 9781475505627 1475510373 9781475510379 |
| language | English |
| oclc_num | 903698733 |
| open_access_boolean | |
| owner | MAIN DE-863 DE-BY-FWS |
| owner_facet | MAIN DE-863 DE-BY-FWS |
| physical | 1 online resource : illustrations |
| psigel | ZDB-4-EBA |
| publishDate | 2012 |
| publishDateSearch | 2012 |
| publishDateSort | 2012 |
| publisher | International Monetary Fund, |
| record_format | marc |
| series | IMF working paper ; |
| series2 | IMF working paper ; |
| spelling | Comelli, Fabio, author. Emerging market sovereign bond spreads : estimation and back-testing / [prepared by] Fabio Comelli. [Place of publication not identified] : International Monetary Fund, 2012. 1 online resource : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier polychrome. rdacc http://rdaregistry.info/termList/RDAColourContent/1003 data file 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. English. Government securities Developing countries. Government securities Developing countries Econometric models. State bonds Econometric models. Obligations d'États fédérés Modèles économétriques. BUSINESS & ECONOMICS Finance. bisacsh Government securities fast Government securities Econometric models fast Developing countries fast has work: Emerging market sovereign bond spreads (Text) https://id.oclc.org/worldcat/entity/E39PCGXY7BytD9tXVxvjXTfCkP https://id.oclc.org/worldcat/ontology/hasWork Print version: Comelli, Fabio. Emerging Market Sovereign Bond Spreads: Estimation and Back-testing. Washington : International Monetary Fund, ©2012 9781475505627 IMF working paper ; WP/12/212. http://id.loc.gov/authorities/names/no89010263 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=568144 Volltext |
| spellingShingle | Comelli, Fabio Emerging market sovereign bond spreads : estimation and back-testing / IMF working paper ; 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. Government securities Developing countries. Government securities Developing countries Econometric models. State bonds Econometric models. Obligations d'États fédérés Modèles économétriques. BUSINESS & ECONOMICS Finance. bisacsh Government securities fast Government securities Econometric models fast |
| 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 | Government securities Developing countries. Government securities Developing countries Econometric models. State bonds Econometric models. Obligations d'États fédérés Modèles économétriques. BUSINESS & ECONOMICS Finance. bisacsh Government securities fast Government securities Econometric models fast |
| topic_facet | 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 |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=568144 |
| work_keys_str_mv | AT comellifabio emergingmarketsovereignbondspreadsestimationandbacktesting |