01770cas a2200241 a 4500 AALejournalIMF010081 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451968989 1018-5941 BD-DhAAL BD-DhAAL International Monetary Fund. The Sensitivity of Secondary Sovereign Loan Market Returns to Macroeconomlc Fundamentals. Washington, D.C. : International Monetary Fund, 1990. 1 online resource (32 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students The sensitivity of secondary sovereign loan market returns to three classes of economic news is estimated in the arbitrage pricing theory framework. Returns are characterized by a limited response to unexpected changes in procyclical U.S. aggregates. Shocks to country-specific balance of payment indicators do not impact debt prices. Announcements of policy changes by creditors and third parties that presage changes in future lending induce large debt price changes. The failure of the data to meet the empirical arbitrage pricing theory restrictions and the large proportion of return variance unexplained by macroeconomic fundamentals highlight the differences between corporate and sovereign securities. Mode of access: Internet IMF Working Papers; Working Paper ; No. 1990/055 Full text available on IMF http://elibrary.imf.org/view/journals/001/1990/055/001.1990.issue-055-en.xml IMF e-Library