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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: crises; returns capital flows; sovereign debt (search for similar items in EconPapers)
JEL-codes: F21 F34 (search for similar items in EconPapers)
Date: 2004-05
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