How Private Creditors Fared in Emerging Debt Markets, 1970-2000
Electronic Access:
Free Download. Use the free Adobe Acrobat Reader to view this PDF file
Summary:
We estimate ex post returns to emerging market debt by combining secondary-market prices with observed flows based on World Bank data. From 1970-2000, returns averaged 9 percent per annum, about the same as returns on a ten-year U.S. treasury bond. This reflects the combined effect of the 1980s debt crisis and much higher returns during 1989-2000. Annual returns since 1986 have been less volatile than emerging market equity returns but more volatile than returns on U.S. corporate or high-yield bonds. However, unlike returns on these bonds, emerging market debt returns do not seem significantly correlated with U.S. or world stock markets.
Series:
Working Paper No. 2004/013
Subject:
Emerging and frontier financial markets Financial crises Financial institutions Financial markets Securities markets Stock markets Stocks
English
Publication Date:
January 1, 2004
ISBN/ISSN:
9781451843033/1018-5941
Stock No:
WPIEA0132004
Pages:
60
Please address any questions about this title to publications@imf.org