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Mr. Daniel C Hardy
Market liquidity is of value to both investors and issuers of securities, and is therefore a crucial factor in asset pricing. For the important asset class of Eurobonds, significant feedback from liquidity to pricing is established, and it is shown that bid-ask spreads (a proxy for market liquidity) and yields are closely related to bond characteristics such as issue volume, time to maturity, the inclusion of collective action clauses, and the jurisdiction of issuance. Debt management offices can choose these characteristics in a way that has economically significant and persistent effects on both liquidity and pricing.
Mr. Tushar Poddar, Mr. Mangal Goswami, Mr. Juan Sole, and Victor Echévarria Icaza

Front Matter Page Middle East and Central Asia Department Authorized for distribution by Edward Gardner Contents I. Introduction II. Theoretical Background III. Empirical Strategy A. Interest Rates on Eurobonds B. Domestic Foreign-Currency Deposit Rates C. Domestic Local-Currency Deposit Rates D. Interest Rates on Lebanese Pound T-bills IV. Trends in Interest Rates V. Results A. Eurobond Yields B. Foreign-Currency Deposit Rates C. Domestic-Currency Interest Rates VI. Discussion VII. Conclusions References

Federico L. Kaune Moreno and Ms. Elaine Karen Buckberg

is that no one seems to be stepping in to arbitrage the differentials away. This paper examines the Brady and Eurobond markets and concludes that there is less potential for arbitrage than may appear. Moreover, the paper shows that illiquidity in the Eurobond market would prevent the exploitation of even this narrower arbitrage opportunity. The Brady-Eurobond yield differential shrinks substantially if you compare the appropriate yields. The average spread between blended Brady bond yields (the simple yield of both the collateralized and uncollateralized

Mr. Axel Schimmelpfennig and Mr. E. H. Gardner

Front Matter Page Middle East and Central Asia Department Authorized for distribution by Edward H. Gardner Contents I. Introduction II. Lebanon’s Main Vulnerabilities III. Investors and Investment Strategies IV. Self-Reinforcing Stability in the Market for Lebanese Debt V. The Role of Deposits VI. Summary and Conclusions References Tables 1. Lebanon’s Attractiveness Relative to Peers 2. Background Information 3. Monitoring of Lebanese Risk 4. Correlation of Eurobond Yields Among Selected Emerging Markets, January 2000–August

International Monetary Fund

trade deficit in June remained stable at about €130 million, with both year-on-year export and import growth declining, possibly reflecting the easing of metal and fuel prices. 5. Macedonian government Eurobond yields have not been notably affected by sovereign debt market pressures in the Eurozone thus far . The yield on Macedonia’s Eurobond maturing in 2015 was 5.5 percent on August 25, similar to the average in June and July and lower than the average for the previous months of the year. Spreads over German bunds have increased by almost 1 percentage point

International Monetary Fund. European Dept.