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

Jeromin Zettelmeyer, Beatrice Weder and Christoph Klingen

No 2004/013, IMF Working Papers from International Monetary Fund

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 percent per annum, about the same as returns on a ten-year U.S. 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 U.S. corporate or high-yield bonds. However, unlike returns on these bonds, emerging market debt returns do not seem significantly correlated with U.S. or world stock markets.

Keywords: WP; secondary market; debt crisis; emerging market debt; debt flow; debt stock; sovereign debt; crises; returns capital flows; debt price; flow series; debt restructuring operation; Emerging and frontier financial markets; Securities markets; Stock markets; Stocks; Asia and Pacific (search for similar items in EconPapers)
Pages: 60
Date: 2004-01-01
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Citations: View citations in EconPapers (33)

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