Characterizing global investors' risk appetite for emerging market debt during financial crises /

Characterizing global investors' risk appetite for emerging market debt during financial crises /

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Bibliographic Details
Imprint:	Washington, D.C. : International Monetary Fund, IMF Institute, ©2003.
Description:	1 online resource (43 pages) : illustrations
Language:	English
Series:	IMF working paper, 2227-8885 ; WP/03/251 IMF working paper ; WP/03/251.
Subject:	Risk management -- Developing countries. Financial crises -- Developing countries. Bond market -- Developing countries. Risk management -- Developing countries -- Econometric models. Bond market -- Developing countries -- Econometric models. Bond market. Bond market -- Econometric models. Financial crises. Risk management. Risk management -- Econometric models. Developing countries.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12496983

Hidden Bibliographic Details
Other authors / contributors:	Dungey, Mardi. IMF Institute. International Monetary Fund.
ISBN:	1283561190 9781283561198 9781451920529 1451920520
Notes:	Cover title. "December 2003"--Caption Includes bibliographical references (pages 31-34). Restrictions unspecified Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010. Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 digitized 2010 HathiTrust Digital Library committed to preserve Print version record.
Summary:	The effects of unanticipated movements in global risk on nine emerging bond markets are investigated. The components of global risk are volatility, credit, and liquidity risks. Country and contagion risks are also studied individually. A historical decomposition of bond spreads is used to identify the relative contributions of risk during 1998-99. The empirical results show that the Russian/LTCM crises were characterized by increases in global credit risk, while the relative size of global risk factors was mixed for the Brazilian crisis, with no component dominating. Country risk is found to be important for all countries, while there is little evidence of contagion risk.
Other form:	Print version: Characterizing global investors' risk appetite for emerging market debt during financial crises. Washington, D.C. : International Monetary Fund, IMF Institute, ©2003
Standard no.:	10.5089/9781451920529.001