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Author: Tao Huang
Publisher:
ISBN:
Category :
Languages : en
Pages : 35
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Book Description
This paper investigates the impact of international political risk on government bond yields in 34 debtor countries using a comprehensive database of 109 international political crises from 1988 through 2007. After employing the total number of international political crises as a proxy for political risk and controlling for country-specific economic conditions, we establish a positive and significant link between international political risk and government bond yields. This is consistent with global bond investors demanding higher returns at times of high political uncertainty. In addition, we show that international political risk has a reduced adverse effect on bond prices when the debtor country has a stable political system and strong investor protection.
Author: Tao Huang
Publisher:
ISBN:
Category :
Languages : en
Pages : 35
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Book Description
This paper investigates the impact of international political risk on government bond yields in 34 debtor countries using a comprehensive database of 109 international political crises from 1988 through 2007. After employing the total number of international political crises as a proxy for political risk and controlling for country-specific economic conditions, we establish a positive and significant link between international political risk and government bond yields. This is consistent with global bond investors demanding higher returns at times of high political uncertainty. In addition, we show that international political risk has a reduced adverse effect on bond prices when the debtor country has a stable political system and strong investor protection.
Author: Nicola Gennaioli
Publisher: International Monetary Fund
ISBN: 1498391990
Category : Business & Economics
Languages : en
Pages : 53
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Book Description
We analyze holdings of public bonds by over 20,000 banks in 191 countries, and the role of these bonds in 20 sovereign defaults over 1998-2012. Banks hold many public bonds (on average 9% of their assets), particularly in less financially-developed countries. During sovereign defaults, banks increase their exposure to public bonds, especially large banks and when expected bond returns are high. At the bank level, bondholdings correlate negatively with subsequent lending during sovereign defaults. This correlation is mostly due to bonds acquired in pre-default years. These findings shed light on alternative theories of the sovereign default-banking crisis nexus.
Author: Johan G. Duyvesteyn
Publisher:
ISBN:
Category :
Languages : en
Pages : 29
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Book Description
Political risk relates to both the ability and the willingness of governments to repay debts. We find that bond prices only slowly adapt to changes in political risk. The expected bond returns for countries whose political risk ratings have improved are higher than those for countries whose political risk ratings have deteriorated. This change in political risk premium cannot be explained by the risk factors default premium, term premium, and liquidity, or by momentum, changes in credit ratings, economic risk or financial risk. The risk-adjusted performance is 7.6% per annum for emerging bond markets and 0.8% per annum for euro government bonds.
Author: Erik Durbin
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 48
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Book Description
Author: Theodore H. Moran
Publisher: World Bank Publications
ISBN: 9780821348345
Category : Business & Economics
Languages : en
Pages : 256
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Book Description
The purpose of this report is to present the ideas and experiences of some of the most distinguished practitioners from the investor, financial, and investment insurance communities in the world. To assist the reader, this volume's editor provides a brief overview to introduce each of the separate topics. Topics focus on the multiple pledge-of-shares problem; the preferred creditor status; breach of contract coverage in infrastructure projects, and OPIC modified expropriation coverage (using an Indonesian case study); securitizing political risk insurance; and cooperation, competition, and the "science of pricing" in the political risk insurance marketplace. -- Publisher description.
Author: Frank Joseph Jones
Publisher: Irwin Professional Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 336
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Book Description
In recent years there has been an increased awareness of the international bond markets as potential sources of return enhancement and/or risk reduction. As a result, investors throughout the world have increasingly adopted a global approach and invested in bonds from several countries. Governments have encouraged this by liberalizing their bond markets, making them more liquid and more accessible to international investors. Futures and options markets have been developed on government bonds in several major countries, permitting more effective implementation of investment strategies. Many global investors restrict their participation in foreign bond markets to foreign government bonds because of their low credit risk and their liquidity. Because of their crucial role, The International Government Bond Markets by Frank J. Jones and Frank J. Fabozzi focuses on eight of the world's major government bond markets: the U.S., Japan, Germany, the U.K., France, the Netherlands, Canada and Australia. It is the first book that provides a single, unified, succinct source of information about these major government bond markets. The core information is supplemented by the treatment of several other topics of importance and interest to global bond investors. The book is divided into three sections: . Section I provides background information about price yield/conventions, accrued interest calculation, international clearing organizations and global custody. Section II describes the eight government bond markets in terms of: nature of the market (maturity, structure and types of issues); method of issuance (primary market); secondary market; price/yield conventions; settlement procedures; taxation; and futures and options markets. Section III discusses investment strategies, beginning with an overview of the foreign exchange market and instruments for controlling foreign exchange risk, and concluding with a general framework for designing an active global bond portfolio strategy.
Author: Nina Bubnova
Publisher: World Bank Publications
ISBN: 9780821348185
Category : Business & Economics
Languages : en
Pages : 100
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Book Description
During the last decade, infrastructure finance and provision graduated from traditional means to more innovative ones, primarily initiated by private companies and supported through their equity and debt. Capital markets increasingly became the main funding source for infrastructure projects worldwide, including investments in developing and transition countries where infrastructure penetration still falls considerably short of needs. Infrastructure bonds served as the most popular method of oil, gas, electricity, telecommunications, and transport project financing in these countries throughout 1990-99, thereby substituting government funding. Using an innovative methodological approach, 'Governance Impact on Private Investment' provides a thorough examination of the effect that governance frameworks, both political and regulatory, have on investors' risk perceptions and on associated costs for infrastructure financing. It identifies those political and regulatory risks that most concern investors. It offers a unique comparative analysis of developed and emerging infrastructure bond markets. The analysis demonstrates how the factors that drive infrastructure finance in the two country groups differ, which helps to identify the policy implications of these factors.
Author: Iva Petrova
Publisher: International Monetary Fund
ISBN: 1455252859
Category : Business & Economics
Languages : en
Pages : 28
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Book Description
This paper analyses the determimants of emerging market sovereign bond spreads by examining the short and long-run effects of fundamental (macroeconomic) and temporary (financial market) factors on these spreads. During the current global financial and economic crisis, sovereign bond spreads widened dramatically for both developed and emerging market economies. This deterioration has widely been attributed to rapidly growing public debts and balance sheet risks. Our results indicate that in the long run, fundamentals are significant determinants of emerging market sovereign bond spreads, while in the short run, financial volatility is a more important determinant of sperads than fundamentals indicators.
Author: Joëlle Miffre
Publisher:
ISBN:
Category :
Languages : en
Pages : 20
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Book Description
The paper estimates conditional pricing models for 11 international government bonds and shows that, while local instruments capture the change in the bonds' risks, global instruments model the variation in the factor risk premia. Altogether the changes in the factor risk premium capture 78.25% of the bonds' predictability, while the dynamics in the betas account for less than 1%. One cannot conclude however that the conditional models are well-specified as parameter instability and relatively large mean squared errors were uncovered. These results extend for the first time some of the evidence from the equity market of Ferson and Harvey (1993), Harvey (1995) and Ghysels (1998) to the bond market.
Author: Ms.Anastasia Guscina
Publisher: International Monetary Fund
ISBN: 1498310680
Category : Business & Economics
Languages : en
Pages : 40
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Book Description
International bond issuance by debut issuers has risen in recent years. The uptick was a result of both demand and supply factors. The search for yield and demand for portfolio diversification have resulted in demand-driven easy financing conditions. At the same time, rising financing needs for many debut issuers, coupled with reduced access to concessional financing, relatively undeveloped domestic markets, and a favorable interest rate environment have made international bonds an attractive financing alternative for many countries. As bonds issued in the international markets are typically denominated in hard currencies, have large volumes and a bullet structure, exposure to exchange rate and refinancing risk has increased. Therefore, risk-mitigating policy actions are needed to prepare for redemption, support debt sustainability, and secure adequate debt management capacity.
