Do sovereign bond spreads in inflation targeting economies reflect creditworthiness and anticipate stress scenarios?

Autores
Hatcherian, Georges
Año de publicación
2012
Idioma
inglés
Tipo de recurso
tesis de maestría
Estado
versión corregida
Colaborador/a o director/a de tesis
Warnes, Ignacio
Descripción
Fil: Hatcherian, Georges. Universidad de San Andrés. Escuela de Administración y Negocios; Argentina.
When successfully executed, inflation targeting (IT) has managed to prevent situations of fiscal dominance and to anchor inflation expectations. This has helped enhance the information content of the price of government bonds and the perception of sovereign risk, thus adding resiliency to sovereign spreads. The paper assesses the resilience of sovereign spreads of IT economies to shocks and compares with those of countries with other policy frameworks. I conclude that, while in the short term sovereign spreads of IT economies are more resilient to macroeconomic volatilities, they tend to widen in the long run after the shock occurs anyway, independently of the monetary policy framework.
Materia
Government securities -- Econometric models.
Inflation (Finance) -- Econometric models.
Títulos públicos -- Modelos econométricos.
Inflación (Finanzas) -- Modelos econométricos.
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-nd/4.0/
Repositorio
Repositorio Digital San Andrés (UdeSa)
Institución
Universidad de San Andrés
OAI Identificador
oai:repositorio.udesa.edu.ar:10908/2727

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oai_identifier_str oai:repositorio.udesa.edu.ar:10908/2727
network_acronym_str RDUDESA
repository_id_str 2363
network_name_str Repositorio Digital San Andrés (UdeSa)
spelling Do sovereign bond spreads in inflation targeting economies reflect creditworthiness and anticipate stress scenarios?Hatcherian, GeorgesGovernment securities -- Econometric models.Inflation (Finance) -- Econometric models.Títulos públicos -- Modelos econométricos.Inflación (Finanzas) -- Modelos econométricos.Fil: Hatcherian, Georges. Universidad de San Andrés. Escuela de Administración y Negocios; Argentina.When successfully executed, inflation targeting (IT) has managed to prevent situations of fiscal dominance and to anchor inflation expectations. This has helped enhance the information content of the price of government bonds and the perception of sovereign risk, thus adding resiliency to sovereign spreads. The paper assesses the resilience of sovereign spreads of IT economies to shocks and compares with those of countries with other policy frameworks. I conclude that, while in the short term sovereign spreads of IT economies are more resilient to macroeconomic volatilities, they tend to widen in the long run after the shock occurs anyway, independently of the monetary policy framework.Universidad de San Andrés. Escuela de Administración y Negocios.Warnes, Ignacio2014-11-04T12:32:50Z2014-11-04T12:32:50Z2012-09Tesisinfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/updatedVersionhttp://purl.org/coar/resource_type/c_bdccinfo:ar-repo/semantics/tesisDeMaestriaapplication/pdfapplication/pdfHatcherian, G. (2012). Do sovereign bond spreads in inflation targeting economies reflect creditworthiness and anticipate stress scenarios?. [Tesis de maestría, Universidad de San Andrés. Escuela de Administración y Negocios.]. Repositorio Digital San Andrés. http://hdl.handle.net/10908/2727Tesis M. Fin. 46http://hdl.handle.net/10908/2727enginfo:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-nd/4.0/reponame:Repositorio Digital San Andrés (UdeSa)instname:Universidad de San Andrés2025-09-04T11:15:32Zoai:repositorio.udesa.edu.ar:10908/2727instacron:Universidad de San AndrésInstitucionalhttp://repositorio.udesa.edu.ar/jspui/Universidad privadaNo correspondehttp://repositorio.udesa.edu.ar/oai/requestmsanroman@udesa.edu.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:23632025-09-04 11:15:32.805Repositorio Digital San Andrés (UdeSa) - Universidad de San Andrésfalse
dc.title.none.fl_str_mv Do sovereign bond spreads in inflation targeting economies reflect creditworthiness and anticipate stress scenarios?
title Do sovereign bond spreads in inflation targeting economies reflect creditworthiness and anticipate stress scenarios?
spellingShingle Do sovereign bond spreads in inflation targeting economies reflect creditworthiness and anticipate stress scenarios?
Hatcherian, Georges
Government securities -- Econometric models.
Inflation (Finance) -- Econometric models.
Títulos públicos -- Modelos econométricos.
Inflación (Finanzas) -- Modelos econométricos.
title_short Do sovereign bond spreads in inflation targeting economies reflect creditworthiness and anticipate stress scenarios?
title_full Do sovereign bond spreads in inflation targeting economies reflect creditworthiness and anticipate stress scenarios?
title_fullStr Do sovereign bond spreads in inflation targeting economies reflect creditworthiness and anticipate stress scenarios?
title_full_unstemmed Do sovereign bond spreads in inflation targeting economies reflect creditworthiness and anticipate stress scenarios?
title_sort Do sovereign bond spreads in inflation targeting economies reflect creditworthiness and anticipate stress scenarios?
dc.creator.none.fl_str_mv Hatcherian, Georges
author Hatcherian, Georges
author_facet Hatcherian, Georges
author_role author
dc.contributor.none.fl_str_mv Warnes, Ignacio
dc.subject.none.fl_str_mv Government securities -- Econometric models.
Inflation (Finance) -- Econometric models.
Títulos públicos -- Modelos econométricos.
Inflación (Finanzas) -- Modelos econométricos.
topic Government securities -- Econometric models.
Inflation (Finance) -- Econometric models.
Títulos públicos -- Modelos econométricos.
Inflación (Finanzas) -- Modelos econométricos.
dc.description.none.fl_txt_mv Fil: Hatcherian, Georges. Universidad de San Andrés. Escuela de Administración y Negocios; Argentina.
When successfully executed, inflation targeting (IT) has managed to prevent situations of fiscal dominance and to anchor inflation expectations. This has helped enhance the information content of the price of government bonds and the perception of sovereign risk, thus adding resiliency to sovereign spreads. The paper assesses the resilience of sovereign spreads of IT economies to shocks and compares with those of countries with other policy frameworks. I conclude that, while in the short term sovereign spreads of IT economies are more resilient to macroeconomic volatilities, they tend to widen in the long run after the shock occurs anyway, independently of the monetary policy framework.
description Fil: Hatcherian, Georges. Universidad de San Andrés. Escuela de Administración y Negocios; Argentina.
publishDate 2012
dc.date.none.fl_str_mv 2012-09
2014-11-04T12:32:50Z
2014-11-04T12:32:50Z
dc.type.none.fl_str_mv Tesis
info:eu-repo/semantics/masterThesis
info:eu-repo/semantics/updatedVersion
http://purl.org/coar/resource_type/c_bdcc
info:ar-repo/semantics/tesisDeMaestria
format masterThesis
status_str updatedVersion
dc.identifier.none.fl_str_mv Hatcherian, G. (2012). Do sovereign bond spreads in inflation targeting economies reflect creditworthiness and anticipate stress scenarios?. [Tesis de maestría, Universidad de San Andrés. Escuela de Administración y Negocios.]. Repositorio Digital San Andrés. http://hdl.handle.net/10908/2727
Tesis M. Fin. 46
http://hdl.handle.net/10908/2727
identifier_str_mv Hatcherian, G. (2012). Do sovereign bond spreads in inflation targeting economies reflect creditworthiness and anticipate stress scenarios?. [Tesis de maestría, Universidad de San Andrés. Escuela de Administración y Negocios.]. Repositorio Digital San Andrés. http://hdl.handle.net/10908/2727
Tesis M. Fin. 46
url http://hdl.handle.net/10908/2727
dc.language.none.fl_str_mv eng
language eng
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-nd/4.0/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-nd/4.0/
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv Universidad de San Andrés. Escuela de Administración y Negocios.
publisher.none.fl_str_mv Universidad de San Andrés. Escuela de Administración y Negocios.
dc.source.none.fl_str_mv reponame:Repositorio Digital San Andrés (UdeSa)
instname:Universidad de San Andrés
reponame_str Repositorio Digital San Andrés (UdeSa)
collection Repositorio Digital San Andrés (UdeSa)
instname_str Universidad de San Andrés
repository.name.fl_str_mv Repositorio Digital San Andrés (UdeSa) - Universidad de San Andrés
repository.mail.fl_str_mv msanroman@udesa.edu.ar
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score 12.623145