The Impact of Macroeconomic Announcements on Emerging Market Bonds

32 Pages Posted: 3 Mar 2006

See all articles by Jochen R. Andritzky

Jochen R. Andritzky

Universität St. Gallen

Geoffrey J. Bannister

International Monetary Fund

Natalia T. Tamirisa

International Monetary Fund (IMF)

Date Written: April 2005

Abstract

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.

Keywords: Announcement, emerging market bonds, news, crisis

JEL Classification: G14, G15

Suggested Citation

Andritzky, Jochen R. and Bannister, Geoffrey J. and Tamirisa, Natalia T., The Impact of Macroeconomic Announcements on Emerging Market Bonds (April 2005). IMF Working Paper No. 05/83, Available at SSRN: https://ssrn.com/abstract=888129

Jochen R. Andritzky (Contact Author)

Universität St. Gallen ( email )

Varnbuelstr. 14
Saint Gallen, St. Gallen CH-9000
Switzerland

Geoffrey J. Bannister

International Monetary Fund ( email )

700 19th St. NW
Washington, DC 20431
United States
202-623-9421 (Phone)
202-623-4237 (Fax)

Natalia T. Tamirisa

International Monetary Fund (IMF) ( email )

700 19th Street NW
Washington, DC 20431
United States

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