Determinants of Bulgarian Brady Bond Prices : An Empirical Assessment
To analyze the main determinants of secondary market prices of Bulgarian Brady Bonds, the authors investigate to what extent fluctuations in domestic fundamentals affect the bonds secondary market price. They also assess the extent to which externa...
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| Format: | Working Paper |
| Language: | English en_US |
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World Bank, Washington, DC
2015
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| Online Access: | http://documents.worldbank.org/curated/en/2000/01/438960/determinants-bulgarian-brady-bond-prices-empirical-assessment http://hdl.handle.net/10986/22279 |
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okr-10986-222792021-04-23T14:04:07Z Determinants of Bulgarian Brady Bond Prices : An Empirical Assessment Budina, Nina Mantchev, Tzvetan BALANCE OF PAYMENTS BANK LOANS BENCHMARK BONDS CAPITAL MARKETS CENTRAL BANK CERTAIN EXTENT COLLATERAL CONSUMER PRICES CURRENCY SUPPLY DEBT ECONOMETRIC ANALYSIS EMERGING MARKETS EMPIRICAL ANALYSIS EMPIRICAL EVIDENCE EMPIRICAL RESEARCH ENDOGENOUS VARIABLES EQUATIONS EQUILIBRIUM EXCHANGE RATE EXCHANGE RATES EXOGENOUS VARIABLES EXPORTS EXTERNAL DEBT FINANCIAL CRISIS FOREIGN EXCHANGE RESERVES IMPORTS INFLATION INFLATION RATE INTEREST ARREARS INTEREST PAYMENTS INTEREST RATE INTEREST RATES INTERNATIONAL BOND MARKETS LABOR PRODUCTIVITY LIQUIDITY MACROECONOMIC PERFORMANCE MACROECONOMIC POLICIES MACROECONOMIC POLICY MACROECONOMIC STABILIZATION MACROECONOMICS MARKET PRICES MARKET RISK PRESENT VALUE PRICE CHANGES PRICE FLUCTUATIONS PRODUCTIVITY INCREASES RISK PREMIUM RISK PREMIUMS SAVINGS TIME SERIES TRADE COMPETITIVENESS TRANSITION ECONOMIES VALUATION WORLD MARKETS BRADY BONDS To analyze the main determinants of secondary market prices of Bulgarian Brady Bonds, the authors investigate to what extent fluctuations in domestic fundamentals affect the bonds secondary market price. They also assess the extent to which external shocks affect the bonds prices. They estimate the long-term relationship between domestic fundamentals and market prices of bonds, using co-integration techniques. In the long-run, they find that gross foreign reserves and exports had a positive effect on bond prices and the real exchange rate and Mexico's nominal exchange rate depreciation had a negative effect. In the short run, the Asian crisis had a negative impact, and Bulgaria's change in political regime and introduction of a currency board had a positive impact. Mexico's economic crisis in 1995 had contagion effects. The authors' empirical results confirm the view that the so-called fundamentals approach should be used to supplement the analysis of spillover effects for Bulgaria Brady bonds. 2015-07-23T14:59:40Z 2015-07-23T14:59:40Z 2000-01 Working Paper http://documents.worldbank.org/curated/en/2000/01/438960/determinants-bulgarian-brady-bond-prices-empirical-assessment http://hdl.handle.net/10986/22279 English en_US Policy Research Working Paper;No. 2277 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ World Bank World Bank, Washington, DC Publications & Research Publications & Research :: Policy Research Working Paper Europe and Central Asia Europe and Central Asia Bulgaria |
| repository_type |
Digital Repository |
| institution_category |
Foreign Institution |
| institution |
Digital Repositories |
| building |
World Bank Open Knowledge Repository |
| collection |
World Bank |
| language |
English en_US |
| topic |
BALANCE OF PAYMENTS BANK LOANS BENCHMARK BONDS CAPITAL MARKETS CENTRAL BANK CERTAIN EXTENT COLLATERAL CONSUMER PRICES CURRENCY SUPPLY DEBT ECONOMETRIC ANALYSIS EMERGING MARKETS EMPIRICAL ANALYSIS EMPIRICAL EVIDENCE EMPIRICAL RESEARCH ENDOGENOUS VARIABLES EQUATIONS EQUILIBRIUM EXCHANGE RATE EXCHANGE RATES EXOGENOUS VARIABLES EXPORTS EXTERNAL DEBT FINANCIAL CRISIS FOREIGN EXCHANGE RESERVES IMPORTS INFLATION INFLATION RATE INTEREST ARREARS INTEREST PAYMENTS INTEREST RATE INTEREST RATES INTERNATIONAL BOND MARKETS LABOR PRODUCTIVITY LIQUIDITY MACROECONOMIC PERFORMANCE MACROECONOMIC POLICIES MACROECONOMIC POLICY MACROECONOMIC STABILIZATION MACROECONOMICS MARKET PRICES MARKET RISK PRESENT VALUE PRICE CHANGES PRICE FLUCTUATIONS PRODUCTIVITY INCREASES RISK PREMIUM RISK PREMIUMS SAVINGS TIME SERIES TRADE COMPETITIVENESS TRANSITION ECONOMIES VALUATION WORLD MARKETS BRADY BONDS |
| spellingShingle |
BALANCE OF PAYMENTS BANK LOANS BENCHMARK BONDS CAPITAL MARKETS CENTRAL BANK CERTAIN EXTENT COLLATERAL CONSUMER PRICES CURRENCY SUPPLY DEBT ECONOMETRIC ANALYSIS EMERGING MARKETS EMPIRICAL ANALYSIS EMPIRICAL EVIDENCE EMPIRICAL RESEARCH ENDOGENOUS VARIABLES EQUATIONS EQUILIBRIUM EXCHANGE RATE EXCHANGE RATES EXOGENOUS VARIABLES EXPORTS EXTERNAL DEBT FINANCIAL CRISIS FOREIGN EXCHANGE RESERVES IMPORTS INFLATION INFLATION RATE INTEREST ARREARS INTEREST PAYMENTS INTEREST RATE INTEREST RATES INTERNATIONAL BOND MARKETS LABOR PRODUCTIVITY LIQUIDITY MACROECONOMIC PERFORMANCE MACROECONOMIC POLICIES MACROECONOMIC POLICY MACROECONOMIC STABILIZATION MACROECONOMICS MARKET PRICES MARKET RISK PRESENT VALUE PRICE CHANGES PRICE FLUCTUATIONS PRODUCTIVITY INCREASES RISK PREMIUM RISK PREMIUMS SAVINGS TIME SERIES TRADE COMPETITIVENESS TRANSITION ECONOMIES VALUATION WORLD MARKETS BRADY BONDS Budina, Nina Mantchev, Tzvetan Determinants of Bulgarian Brady Bond Prices : An Empirical Assessment |
| geographic_facet |
Europe and Central Asia Europe and Central Asia Bulgaria |
| relation |
Policy Research Working Paper;No. 2277 |
| description |
To analyze the main determinants of
secondary market prices of Bulgarian Brady Bonds, the
authors investigate to what extent fluctuations in domestic
fundamentals affect the bonds secondary market price. They
also assess the extent to which external shocks affect the
bonds prices. They estimate the long-term relationship
between domestic fundamentals and market prices of bonds,
using co-integration techniques. In the long-run, they find
that gross foreign reserves and exports had a positive
effect on bond prices and the real exchange rate and Mexico's
nominal exchange rate depreciation had a negative effect. In
the short run, the Asian crisis had a negative impact, and
Bulgaria's change in political regime and introduction of a
currency board had a positive impact. Mexico's economic
crisis in 1995 had contagion effects. The authors' empirical
results confirm the view that the so-called fundamentals
approach should be used to supplement the analysis of
spillover effects for Bulgaria Brady bonds. |
| format |
Working Paper |
| author |
Budina, Nina Mantchev, Tzvetan |
| author_facet |
Budina, Nina Mantchev, Tzvetan |
| author_sort |
Budina, Nina |
| title |
Determinants of Bulgarian Brady Bond Prices : An Empirical Assessment |
| title_short |
Determinants of Bulgarian Brady Bond Prices : An Empirical Assessment |
| title_full |
Determinants of Bulgarian Brady Bond Prices : An Empirical Assessment |
| title_fullStr |
Determinants of Bulgarian Brady Bond Prices : An Empirical Assessment |
| title_full_unstemmed |
Determinants of Bulgarian Brady Bond Prices : An Empirical Assessment |
| title_sort |
determinants of bulgarian brady bond prices : an empirical assessment |
| publisher |
World Bank, Washington, DC |
| publishDate |
2015 |
| url |
http://documents.worldbank.org/curated/en/2000/01/438960/determinants-bulgarian-brady-bond-prices-empirical-assessment http://hdl.handle.net/10986/22279 |
| _version_ |
1764450590374494208 |