Front Matter Page Monetary and Capital Markets Department Authorized for distribution by Mr. Ferhani Contents I. Introduction II. Data A. Variables Emerging Market Bond Spreads Credit Ratings and Outlooks Fed Funds Futures Volatility in the Fed Funds Futures Market Volatility Index of S&P 500 (VIX) B. Total Credit Rating-Outlook Index (CROI) Log Linearity Between the Spreads and Ratings Construction of the Total Credit Rating-Outlook Index (CROI) III. Results A. Basic Model B. Extended Model with Volatility
Front Matter Page European Department Authorized for distribution by Susan Schadler Contents I. Introduction II. Macroeconomic performance and vulnerabilities III. Measuring the CEC Advantage: What fundamentals cannot explain A. Methodology B. Data C. Estimation IV. Results V. Conclusions References Appendix Theoretical Motivation Total Credit Rating-Outlook Index (CROI) Tables 1. Baseline Regression Results 2. Robustness Checks Figures 1. Growth of Real GDP per Capita, 2001-07 2. Average CPI Inflation 3
, 1962 – 2014 Figure 3. Export Diversification Figure 4. Economics Complexity Figure 5. Diversification in South Asia Improved Over Time, 1972 – 2016 Figure 6. Extensive and Intensive Margin Figure 7. Quality Ladder, 2014 Figure 8. Economic Complexity Outlook Index, 2016 Figure 9. The Product Space in India and Bangladesh Figure 10. What Factors Drive Diversification and Complexity Figure 11. Mapping Factors to Observable Data Figure 12. Impact of Structural Indicators on Economic Complexity Relative to One Standard Deviation of the Distribution of
that information with how sophisticated these goods are. We use two specific metrics derived from this approach, namely an economic complexity index (ECI) and a complexity outlook index. Box 5.1 provides a brief description of both metrics, and highlights conceptual differences vis-à-vis the export diversification index in further detail. Figure 5.2 shows that the level of export diversification in LAC is significantly lower than in advanced economies and the newly industrialized Asian countries (which can be thought of as a reference point for successful
SPX Volatility Index, measuring the implied volatility in the prices of a basket of options on the S&P 500.. Sources: Bloomberg L.P.; J.P. Morgan Chase; and Authors’ calculation. B. Total Credit Rating-Outlook Index (CROI) One of the main contributions of this paper is to introduce a Total Credit Rating-Outlook Index (CROI) which encompasses both the information of sovereign long-term credit ratings and outlooks to better proxy for underlying fundamentals that influence emerging market bond spreads. Log Linearity Between the Spreads and Ratings
Complexity; World Bank. There is substantial scope to increase the complexity of South Asia’s exports, as captured by the economic complexity outlook index ( Annex Figure 3.2 ). The index measures the average complexity of products that a country can diversify into—that is, how strategically positioned a country is in its product space. India, Nepal, and Sri Lanka are especially well positioned to improve the complexity of their exports. Given their current production structures, it will be easier for them to diversify because they have many complex products near their