TY  - BOOK
ED  - International Monetary Fund.
TI  - The Sensitivity of Secondary Sovereign Loan Market Returns to Macroeconomlc Fundamentals
T2  - IMF Working Papers; Working Paper
SN  - 1451968981 :
SN  - 1018-5941
PY  - 1990///
CY  - Washington, D.C.
PB  - International Monetary Fund
KW  - Balance of Payment
KW  - imf
KW  - Bond
KW  - External Debt
KW  - Government Bond
KW  - Sovereign Debt
KW  - Brazil
KW  - Dominican Republic
KW  - Ecuador
KW  - Mexico
KW  - Venezuela, República Bolivariana de
N2  - The sensitivity of secondary sovereign loan market returns to three classes of economic news is estimated in the arbitrage pricing theory framework. Returns are characterized by a limited response to unexpected changes in procyclical U.S. aggregates. Shocks to country-specific balance of payment indicators do not impact debt prices. Announcements of policy changes by creditors and third parties that presage changes in future lending induce large debt price changes. The failure of the data to meet the empirical arbitrage pricing theory restrictions and the large proportion of return variance unexplained by macroeconomic fundamentals highlight the differences between corporate and sovereign securities
UR  - http://elibrary.imf.org/view/IMF001/15727-9781451968989/15727-9781451968989/15727-9781451968989.xml
UR  - http://www.imfbookstore.org/IMFORG/9781451968989
ER  -