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Working Paper
Sovereign CDS and bond pricing dynamics in emerging markets: does the cheapest-to-deliver option matter?
Cai, Fang; Ammer, John (2007)
We examine the relationships between credit default swap (CDS) premiums and bond yield spreads for nine emerging market sovereign borrowers. We find that these two measures of credit risk deviate considerably in the short run, due to factors such as liquidity and contract specifications, but we estimate a stable long-term equilibrium relationship for most countries. In particular, CDS premiums tend to move more than one-for-one with yield spreads, which we show is broadly consistent with the presence of a significant "cheapest-to-deliver" (CTD) option. In addition, we find a variety of ...
International Finance Discussion Papers , Paper 912

Working Paper
The illusive quest: do international capital controls contribute to currency stability?
Glick, Reuven; Hutchison, Michael M. (2010)
We investigate the effectiveness of capital controls in insulating economies from currency crises, focusing in particular on both direct and indirect effects of capital controls and how these relationships may have changed over time in response to global financial liberalization and the greater mobility of international capital. We predict the likelihood of currency crises using standard macroeconomic variables and a probit equation estimation methodology with random effects. We employ a comprehensive panel data set comprised of 69 emerging market and developing economies over 1975?2004. Both ...
Working Paper Series , Paper 2010-15

Report
Global banks and international shock transmission: evidence from the crisis
Goldberg, Linda S.; Cetorelli, Nicola (2010)
Global banks played a significant role in transmitting the 2007-09 financial crisis to emerging-market economies. We examine adverse liquidity shocks on main developed-country banking systems and their relationships to emerging markets across Europe, Asia, and Latin America, isolating loan supply from loan demand effects. Loan supply in emerging markets across Europe, Asia, and Latin America was affected significantly through three separate channels: 1) a contraction in direct, cross-border lending by foreign banks; 2) a contraction in local lending by foreign banks' affiliates in emerging ...
Staff Reports , Paper 446

Journal Article
Banking industry evolution along the Texas-Mexico border
Phillips, Keith R.; Lopez, Jose Joaquin (2007-07)
Southwest Economy , Issue Jul , Pages 11-13

Working Paper
An anatomy of credit booms: evidence from macro aggregates and micro data
Terrones, Marco E.; Mendoza, Enrique G. (2008)
This paper proposes a methodology for measuring credit booms and uses it to identify credit booms in emerging and industrial economies over the past four decades. In addition, we use event study methods to identify the key empirical regularities of credit booms in macroeconomic aggregates and micro-level data. Macro data show a systematic relationship between credit booms and economic expansions, rising asset prices, real appreciations, widening external deficits and managed exchange rates. Micro data show a strong association between credit booms and firm-level measures of leverage, firm ...
International Finance Discussion Papers , Paper 936

Journal Article
Financial sector FDI and host countries: new and old lessons
Goldberg, Linda S. (2007-03)
Foreign direct investment (FDI) into the financial sectors of emerging economies soared during the 1990s, leaving many countries with banking sectors owned primarily by foreign institutions. While the implications of FDI into emerging markets are well documented, less clearly understood is how the host countries are affected by financial sector FDI specifically. An understanding of this relationship is crucial for countries formulating policy with respect to foreign banks. This article argues that many lessons learned from work on FDI into manufacturing and primary resource industries apply ...
Economic Policy Review , Volume 13 , Issue Mar , Pages 1-17

Working Paper
Expansionary Austerity: Reallocating Credit Amid Fiscal Consolidation
Morais, Bernardo; Peydró, José-Luis; Ruiz-Ortega, Claudia (2021-08-04)
We study the impact of public debt limits on economic growth exploiting the introduction of a Mexican law capping the debt of subnational governments. Despite larger fiscal consolidation, states with higher ex-ante public debt grew substantially faster after the law, albeit at the expense of increased extreme poverty. Credit registry data suggests that the mechanism behind this result is a reduction in crowding out. After the law, banks operating in more indebted states reallocate credit away from local governments and into private firms. The unwinding of crowding out is stronger for riskier ...
International Finance Discussion Papers , Paper 1323

Working Paper
A Coherent Framework for Predicting Emerging Market Credit Spreads with Support Vector Regression
Anderson, Gary S.; Audzeyeva, Alena (2019-10-17)
We propose a coherent framework using support vector regression (SRV) for generating and ranking a set of high quality models for predicting emerging market sovereign credit spreads. Our framework adapts a global optimization algorithm employing an hv-block cross-validation metric, pertinent for models with serially correlated economic variables, to produce robust sets of tuning parameters for SRV kernel functions. In contrast to previous approaches identifying a single "best" tuning parameter setting, a task that is pragmatically improbable to achieve in many applications, we proceed with ...
Finance and Economics Discussion Series , Paper 2019-074

Report
Estimating the impacts of U.S. LSAPs on emerging market economies’ local currency bond markets
Suh, Myeongguk; Moore, Jeffrey; Nam, Sunwoo; Tepper, Alexander (2013)
This paper examines whether large-scale asset purchases (LSAPs) by the Federal Reserve influenced capital flows out of the United States and into emerging market economies (EMEs) and also analyzes the degree of pass-through from long-term U.S. government bond yields to long-term EME bond yields. Using panel data from a broad array of EMEs, our empirical estimates suggest that a 10-basis-point reduction in long-term U.S. Treasury yields results in a 0.4-percentage-point increase in the foreign ownership share of emerging market debt. This, in turn, is estimated to reduce government bond yields ...
Staff Reports , Paper 595

Speech
Beyond the crisis: reflections on the challenges
Checki, Terrence J. (2009)
Remarks at the Foreign Policy Association Corporate Dinner, New York City
Speech , Paper 8

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