How Private Creditors Fared in Emerging Debt Markets, 1970-2000

Christoph Klingen, Beatrice Weder di Mauro and Jeromin Zettelmeyer ()

No 4374, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: 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% per annum, about the same as returns on a ten-year US 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 US corporate or high-yield bonds. Unlike returns on these bonds, however, emerging market debt returns do not seem significantly correlated with US or world stock markets.

Keywords: Sovereign debt; Crises; Returns capital flows (search for similar items in EconPapers)
JEL-codes: F21 F34 (search for similar items in EconPapers)
Date: 2004-05
References: Add references at CitEc
Citations: View citations in EconPapers (31)

Downloads: (external link)
https://cepr.org/publications/DP4374 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
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: https://EconPapers.repec.org/RePEc:cpr:ceprdp:4374

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP4374

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().