Economics at your fingertips  

The Impact of Macroeconomic Announcementson Emerging Market Bonds

Jochen Andritzky, Geoffrey J. Bannister and Natalia Tamirisa ()

No 05/83, 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: Announcements; bond, equation, bonds, financial markets, anova, statistic, independent variables, dummy variables, standard errors, bond markets, bond market, equations, independent variable, market bond, bond spreads, emerging market bonds, emerging market bond, statistics, bond prices, treasury bond, stock market, outliers, dummy variable, emerging bond markets, global bond, surveys, international bond, standard deviations, international financial markets, sovereign bonds, autocorrelation, time series, reserve requirements, econometrics, global bond market, treasury bonds, stock prices, constant variance, survey, bond index, financial economics, standard deviation, bond returns, deposit interest rates, correlation, stock returns, lagrange multiplier test, measurement errors, brady bonds, bond funds, statistical data, statistical information, stock markets, bond futures, high-yield bond, index bond, stock market index, eurobonds, global bond markets, international bonds, brady bond, deposit interest, statistical significance, bond investors, dollar bond, fitted value, financial stability, futures market, covariance, computation, sovereign bond, random error, constant mean, predictions, dollar bonds, maximum likelihood method (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin and nep-fmk
Date: 2005-04-01
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (6) Track citations by RSS feed

Downloads: (external link) (application/pdf)

Related works:
Journal Article: The impact of macroeconomic announcements on emerging market bonds (2007) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in IMF Working Papers from International Monetary Fund
Address: International Monetary Fund, Washington, DC USA
Contact information at EDIRC.
Series data maintained by Jim Beardow ().

Page updated 2015-07-25
Handle: RePEc:imf:imfwpa:05/83