The Impact of Macroeconomic Announcements on Emerging Market Bonds

By Jochen R. Andritzky, Geoffrey J Bannister, Natalia T. Tamirisa

April 1, 2005

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Format: Chicago

Jochen R. Andritzky, Geoffrey J Bannister, and Natalia T. Tamirisa The Impact of Macroeconomic Announcements on Emerging Market Bonds, (USA: International Monetary Fund, 2005) accessed December 23, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

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 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.

Subject: Emerging and frontier financial markets, Fiscal stance, Industrial production, Short term interest rates, Trade balance

Keywords: Budget deficit, Global bond, Monetary policy, Order flow, Standard and Poor's, Standard deviation, WP

Publication Details

Pages:

31
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2005/083
Stock No:

WPIEA2005083
ISBN:

9781451861020
ISSN:

1018-5941

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