Working Paper: CEPR ID: DP4374
Authors: Christoph Klingen; Beatrice Weder; Jeromin Zettelmeyer
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% per annum, about the same as returns on a ten-year US 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 US corporate or high-yield bonds. Unlike returns on these bonds, however, emerging market debt returns do not seem significantly correlated with US or world stock markets.
Keywords: crises; returns; capital flows; sovereign debt
JEL Codes: F21; F34
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| returns on emerging market debt (F34) | returns on US Treasury bonds (E43) |
| returns on emerging market debt (F34) | volatility of annual returns on emerging market debt (G12) |
| returns on emerging market debt (F34) | correlation with US and world stock markets (G15) |
| debt crises and restructurings (F34) | returns on emerging market debt (F34) |