Are markets learning? : behavior in the secondary market for Brady bonds (English)

The authors analyze some aspects of the market for Brady bonds (restructured debt in developing countries). They focus on how the debt crisis in Mexico in 1994 affected risk assessment (as measured by the stripped spread) in other Brady countries, especially Poland. Their main finding: The risk premium (in a single country) has a behavior (one unit root), consistent with the hypothesis that it reflects new market information. Among stripped yields...

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Author

Barbone, Luca;

Forni, Lorenzo;
Document Date
1997/02/28
Document Type
Policy Research Working Paper
Report Number
WPS1734
Volume No
1
Total Volume(s)
1
Country
Mexico, Poland,
Region
Europe And Central Asia, Latin America And Caribbean,
Disclosure Date
2010/07/01
Doc Name
Are markets learning? : behavior in the secondary market for Brady bonds
Keywords
risk premium

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Citation

Barbone, Luca; Forni, Lorenzo.

Are markets learning? : behavior in the secondary market for Brady bonds (English). Policy, Research working paper ; no. WPS 1734 Washington, D.C. : World Bank Group. http://documents.worldbank.org/curated/en/682191468776056126

Are markets learning? : behavior in the secondary market for Brady bonds (English)

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