Cover IMF Working Papers
Buy Book in Print
The Impact of Macroeconomic Announcements on Emerging Market Bonds
Author:
Mr. Jochen R. Andritzky
Search for other papers by Mr. Jochen R. Andritzky in
Current site
Google Scholar Close
,
Mr. Geoffrey J Bannister
Search for other papers by Mr. Geoffrey J Bannister in
Current site
Google Scholar Close
, and
Ms. Natalia T. Tamirisa
Search for other papers by Ms. Natalia T. Tamirisa in
Current site
Google Scholar Close
Series:
IMF Working Papers
Volume/Issue:
Volume 2005: Issue 083
Language:
English
Publication Date:
01 Apr 2005
DOI:
https://doi.org/10.5089/9781451861020.001
ISBN:
9781451861020
ISSN:
1018-5941
Pages:
31
Keywords:
WP; global bond; Standard and Poor's; monetary policy; budget deficit; order flow; standard deviation
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
Download PDF (304.7 KB) Download Epub
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.
  • Collapse
  • Expand
Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund