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...
| Main Authors: | , |
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| Language: | English en_US |
| Published: |
World Bank, Washington, DC
2015
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| Subjects: | |
| Online Access: | http://documents.worldbank.org/curated/en/2000/01/438960/determinants-bulgarian-brady-bond-prices-empirical-assessment http://hdl.handle.net/10986/22279 |
| Summary: | 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. |
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