The Impact of Macroeconomic Announcements on Emerging Market Bonds

Jochen Andritzky, Geoffrey Bannister and Natalia Tamirisa

No 2005/083, IMF Working Papers from International Monetary Fund

Abstract: 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.

Keywords: WP; global bond; Standard and Poor's; monetary policy; budget deficit; order flow; standard deviation (search for similar items in EconPapers)
Pages: 31
Date: 2005-04-01
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Citations: View citations in EconPapers (9)

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