Determinants of emerging market bond spread : do economic fundamentals matter?

In the 1990s international bond issues from developing countries surged dramatically, becoming one of the fastest-growing devices for financing external development. Their terms have improved as institutional investors have become more interested in emerging market securities and better economic prospects in a number of developing countries. But little is known about what determines the pricing and thus the yield spreads of new emerging market bond issues. The author investigates what determines bond spreads in emerging markets in the 1990s. He finds that strong macroeconomic fundamentals in a country -- such as low domestic inflation rates, improved terms of trade, and increased foreign assets -- are associated with lower yield spreads. By contrast, higher yield spreads are associated with weak liquidity variables in a country, such as a high debt-to-GDP (Gross Domestic Product) ratio, a low ratio of foreign reserves to GDP, a low (high) export (import) growth rate, and a high debt-service ratio. At the same time, external shocks -- as measured by the international interest rate -- matter little in the determination of bond spreads. In the aggregate, Latin America countries have a negative yield curve.Environmental Economics&Policies,Economic Theory&Research,Banks&Banking Reform,Payment Systems&Infrastructure,International Terrorism&Counterterrorism,International Terrorism&Counterterrorism,Economic Theory&Research,Macroeconomic Management,Environmental Economics&Policies,Banks&Banking Reform

Does a thin foreign exchange market lead to destabilizing capital-market speculation in the Asian Crisis countries?

The authors investigate how the thinness of foreign-exchange markets causes destabilization speculation, especially when exchange-rate flexibility is increased, as it has been in the countries involved in the Asian crisis. They analyze the impact of this market thinness on the dynamic capital mobility and capital market risk of four countries involved in the Asian crisis: Indonesia, the Republic of Korea, Malaysia, and Thailand. Using the vector-autoregression model, impulse response functions, and variance decomposition, they show that in response to one-standard-deviation shock to interest and exchange rates, the dynamic capital mobility of all four countries decreases in the short run. These shocks also cause the capital market risk of these countries to rise. Since the onset of the Asian crisis, the countries involved responded by raising their interest rates and devaluing their currencies. These measures were intended to stem capital flight from the borrowing countries and to encourage capital inflows. But in an environment of protracted financial sector reform and thin foreign exchange markets, these standard policies did not stabilize capital inflows into these countries. The authors'research supports the view that because standard policies were unable to change institutional investors'(self-fulfilling) expectations and herding behavior, the countries'policies have, in the short run, not been successful. This failure is in large part attributable to the very thin foreign exchange markets in these Asian countries.Fiscal&Monetary Policy,Banks&Banking Reform,Payment Systems&Infrastructure,Economic Theory&Research,Capital Markets and Capital Flows,Banks&Banking Reform,Economic Theory&Research,Macroeconomic Management,International Terrorism&Counterterrorism,Insurance&Risk Mitigation

How the Republic of Korea's financial structure affects the volatility of four asset prices

The authors explore how Korea's financial structure affects the volatility of asset prices. Documented empirical evidence of the relationship between financial structure and financial crisis, sheds light on the relationship between asset price volatility - extreme variations in price - and financial structure. And the volatility of financial and non-financial asset prices provides an indirect link between an economy's financial structure and the likelihood of financial crisis. Using time-series data on a se of indicators measuring financial structure, the authors examine how Korea's financial structure affects the volatility of the real effective exchange rate, the money market rate, government bond yields, and stock prices. They find: 1) There is a stable long-term relationship between financial structure and volatility in the real effective exchange rate, the money market rate, stock prices, and the yield on government housing bonds. 2) Financial structure affects asset price variables asymmetrically. Some variables'volatility increases, and others'diminish, suggesting that monetary policies should target different asset markets to achieve different goals. If the goal of the monetary authority is to stabilize the money market rate, for example, intervening in the banking sector is more efficient than intervening in other financial sub-sectors. 3) The higher volatility of stock prices reflects the thin stock market in Korea. 4) The stability of the yield on government housing bonds reflects the Korean government's policy of stabilizing the nation's housing supply by isolating the housing market from the impact of Korea's financial structure. 5) Restrictions on foreigners'ownership of domestic stock in Korea during the periodanalyzed, and the fact that most capital flows through commercial banks, affect the exchange rate, which is determined (at least in the short run) by capital flows in the foreign exchange market.Payment Systems&Infrastructure,Economic Theory&Research,Fiscal&Monetary Policy,Markets and Market Access,Banks&Banking Reform,Economic Theory&Research,Financial Economics,Access to Markets,Markets and Market Access,Banks&Banking Reform

Dynamic capita mobility, capital market risk, and exchange rate misalignment : evidence from seven Asian Countries

Economic Theory&Research,Banks&Banking Reform,Fiscal&Monetary Policy,Payment Systems&Infrastructure,International Terrorism&Counterterrorism,Environmental Economics&Policies,Fiscal&Monetary Policy,Economic Theory&Research,Banks&Banking Reform,Macroeconomic Management

Role of A‐Site Composition in Charge Transport in Lead Iodide Perovskites

As the power conversion efficiency and stability of solar cells based on metal halide perovskites continue to improve, the community increasingly relies on compounds formed of mixed cations and mixed halides for the highest performing devices. The result is that device engineers now have a potentially infinite number of compositions to choose from. While this has provided a large scope for optimization, it has increased complexity of the field, and the rationale for choosing one composition over another remains somewhat empirical. Herein, the distribution of electronic properties for a range of lead iodide perovskite thin films is mapped. The relative percentages of methylammonium, formamidinium, and cesium are varied, and the electronic properties are measured with time-resolved microwave conductivity, a contactless technique enabling extraction of electronic properties of isolated films of semiconductors. It is found a small amount of Cs leads to larger carrier mobilities and longer carrier lifetimes and that compositions with a tolerance factor close to 0.9 generally show lower performance that those closer to 0.8 or 1.0

Observation of a kink during the formation of the Kondo resonance band in a heavy-fermion system

We have shown that the kink behavior in the spectral function of a heavy fermion can appear during the formation of the Kondo resonance (KR) band and the hybridization gap. We have investigated the heavy fermion compound CeCoGe2, using a combined approach of the density functional theory and the dynamical mean field theory. Low temperature T spectral functions show dispersive KR states, similarly to the recent experimental observation. During the evolution from the non-f conduction band state at high T to the dispersive KR band state at low T, which have topologically different band shapes, we have found the existence of kinks in the non-f spectral function near the Fermi level E-F. The observation of kink is clearly in correspondence with the multiple temperature scales of the formation of the KR band.X1186sciescopu

Improving Performance Insensitivity of Large-scale Multiobjective Optimization via Monte Carlo Tree Search

The large-scale multiobjective optimization problem (LSMOP) is characterized by simultaneously optimizing multiple conflicting objectives and involving hundreds of decision variables. {Many real-world applications in engineering fields can be modeled as LSMOPs; simultaneously, engineering applications require insensitivity in performance.} This requirement usually means that the results from the algorithm runs should not only be good for every run in terms of performance but also that the performance of multiple runs should not fluctuate too much, i.e., the algorithm shows good insensitivity. Considering that substantial computational resources are requested for each run, it is essential to improve upon the performance of the large-scale multiobjective optimization algorithm, as well as the insensitivity of the algorithm. However, existing large-scale multiobjective optimization algorithms solely focus on improving the performance of the algorithms, leaving the insensitivity characteristics unattended. {In this work, we propose an evolutionary algorithm for solving LSMOPs based on Monte Carlo tree search, the so-called LMMOCTS, which aims to improve the performance and insensitivity for large-scale multiobjective optimization problems.} The proposed method samples the decision variables to construct new nodes on the Monte Carlo tree for optimization and evaluation. {It selects nodes with good evaluation for further search to reduce the performance sensitivity caused by large-scale decision variables.} We compare the proposed algorithm with several state-of-the-art designs on different benchmark functions. We also propose two metrics to measure the sensitivity of the algorithm. The experimental results confirm the effectiveness and performance insensitivity of the proposed design for solving large-scale multiobjective optimization problems.Comment: 12 pages, 11 figure