How Private Creditors Fared in Emerging Debt Markets, 1970-2000 [electronic resource] / Jeronimo Zettelmeyer.
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TextSeries: IMF Working Papers; Working Paper ; No. 04/13Publication details: Washington, D.C. : International Monetary Fund, 2004Description: 1 online resource (60 p.)ISBN: 1451843038 :ISSN: 1018-5941Subject(s): Bond | Bonds | Creditors | Crises | Debt Crises | Debt Stock | Congo, Democratic Republic of theAdditional physical formats: Print Version:: How Private Creditors Fared in Emerging Debt Markets, 1970-2000Online resources: IMF e-Library | IMF Book Store 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.
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.
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