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To estimate the equity risk premium for a country, I start with a mature market premium and add an addit
Step 2: Estimate the default spread for the country in question. I offer two choices, one based upo
Moody's ratings: http://www.moodys.com
(You will have to register, but it is free. Look under sovereign ratin
Ratings to spreads:
Based upon my estimates of typical spreads for each ratings class. I compute these by
CDS spreads: Bloomberg
If you are interested in a fuller explanation of these concepts, try these references:
My paper on equity risk premiums:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=20
Campbell Harvey's country risk premium page: http://www.duke.edu/~charvey/Country_risk/couindex.h
Watch my lectures on country risk premiums:
http://echo360.stern.nyu.edu:8080/ess/echo/presentatio
http://echo360.stern.nyu.edu:8080/ess/echo/presentatio
mium and add an additional country risk premium, based upon the risk of the country in question.
mium for the S&P 500. To see the latest estimate for this number, go to my website and you can download the exce
oices, one based upon the local currency sovereign rating for the country from Moody's and the other is the
k under sovereign ratings)
s. I compute these by averaging CDS spreads and sovereign US$ bond spreads by ratings class, at the start of eve
emium. To make this choice, go into the ERP worksheet and set cell E5 to 1.00.
ket, relative to the default spread. You can see the relative ratios for individual countries in the worksheet "Equity vs
ers.cfm?abstract_id=2027211
ountry_risk/couindex.htm
80/ess/echo/presentation/d5b0232a-ef00-4ffd-b92e-0f95e1685373/media.m4v
80/ess/echo/presentation/e41ef416-aba8-4dda-8d8b-0fe3b0e6283d/media.m4v
d you can download the excel spreadsheet containing the implied premium
Moody's and the other is the CDS spread for the country (if one exists)
s in the worksheet "Equity vs Govt Bond" in this spreadsheet. Set cell E5 in the ERP worksheet to that number.
Country
Albania
Angola
Argentina
Armenia
Australia
Austria [1]
Azerbaijan
Bahamas
Bahrain
Bangladesh
Barbados
Belarus
Belgium [1]
Belize
Bermuda
Bolivia
Bosnia and Herzegovina
Botswana
Brazil
Bulgaria
Cambodia
Canada
Cayman Islands
Chile
China
Region
Eastern Europe & Russia
Africa
Central and South America
Eastern Europe & Russia
Australia & New Zealand
Western Europe
Eastern Europe & Russia
Caribbean
Middle East
Asia
Caribbean
Eastern Europe & Russia
Western Europe
Central and South America
Caribbean
Central and South America
Eastern Europe & Russia
Africa
Central and South America
Eastern Europe & Russia
Asia
North America
Caribbean
Central and South America
Asia
Colombia
Costa Rica
Croatia
Cuba
Cyprus [1]
Czech Republic
Denmark
Dominican Republic
Ecuador
Egypt
El Salvador
Estonia
Fiji Islands
Finland [1]
France [1]
Georgia
Germany [1]
Greece [1]
Guatemala
Honduras
Hong Kong
Hungary
Iceland
India
Indonesia
Ireland [1]
Isle of Man
Israel
Italy [1]
Jamaica
Japan
Baa3
Baa3
Baa3
Caa1
Ba3
A1
Aaa
B1
Caa2
B2
Ba2
A1
B1
Aaa
Aaa
Ba3
Aaa
Caa1
Ba1
B2
Aa1
Ba1
Baa3
Baa3
Baa3
Ba1
Aaa
A1
A3
B3
Aa3
2.00%
2.00%
2.00%
7.00%
3.25%
0.85%
0.00%
4.00%
8.50%
5.00%
2.75%
0.85%
4.00%
0.00%
0.00%
3.25%
0.00%
7.00%
2.40%
5.00%
0.25%
2.40%
2.00%
2.00%
2.00%
2.40%
0.00%
0.85%
1.15%
6.00%
0.70%
Jordan
Kazakhstan
Korea
Kuwait
Latvia
Lebanon
Lithuania
Luxembourg [1]
Macao
Malaysia
Malta [1]
Mauritius
Mexico
Moldova
Mongolia
Montenegro
Morocco
Namibia
Netherlands [1]
New Zealand
Nicaragua
Norway
Oman
Pakistan
Panama
Papua New Guinea
Paraguay
Peru
Philippines
Poland
Portugal [1]
Middle East
Eastern Europe & Russia
Asia
Middle East
Eastern Europe & Russia
Middle East
Eastern Europe & Russia
Financial Center
Asia
Asia
Western Europe
Africa
Central and South America
Eastern Europe & Russia
Asia
Eastern Europe & Russia
Africa
Africa
Western Europe
Australia & New Zealand
Central and South America
Western Europe
Middle East
Asia
Central and South America
Asia
Central and South America
Central and South America
Asia
Eastern Europe & Russia
Western Europe
Ba2
Baa2
A1
Aa2
Baa3
B1
Baa1
Aaa
Aa3
A3
A3
Baa1
Baa1
B3
B1
Ba3
Ba1
Baa3
Aaa
Aaa
B3
Aaa
A1
B3
Baa3
B1
B1
Baa3
Ba2
A2
Ba3
2.75%
1.75%
0.85%
0.50%
2.00%
4.00%
1.50%
0.00%
0.70%
1.15%
1.15%
1.50%
1.50%
6.00%
4.00%
3.25%
2.40%
2.00%
0.00%
0.00%
6.00%
0.00%
0.85%
6.00%
2.00%
4.00%
4.00%
2.00%
2.75%
1.00%
3.25%
Qatar
Romania
Russia
Saudi Arabia
Senegal
Singapore
Slovakia
Slovenia [1]
South Africa
Spain
Sri Lanka
St. Vincent & the Grenadines
Suriname
Sweden
Switzerland
Taiwan
Thailand
Trinidad and Tobago
Tunisia
Turkey
Ukraine
United Arab Emirates
United Kingdom
United States of America
Uruguay
Venezuela
Vietnam
Middle East
Eastern Europe & Russia
Eastern Europe & Russia
Middle East
Africa
Asia
Eastern Europe & Russia
Eastern Europe & Russia
Africa
Western Europe
Asia
Caribbean
Caribbean
Western Europe
Western Europe
Asia
Asia
Caribbean
Africa
Western Europe
Eastern Europe & Russia
Middle East
Western Europe
North America
Central and South America
Central and South America
Asia
Rating
A1
A2
A3
Aa2
Baa3
Baa1
Aa3
B1
Aaa
A2
A2
A3
Baa3
B1
B1
Ba3
Aaa
Aaa
Aa3
Baa1
Baa1
Baa3
Ba1
B2
Aa2
Aaa
Aaa
Ba1
B1
B1
Default spread in basis points
85
100
115
0.50%
2.00%
1.50%
0.70%
4.00%
0.00%
1.00%
1.00%
1.15%
2.00%
4.00%
4.00%
3.25%
0.00%
0.00%
0.70%
1.50%
1.50%
2.00%
2.40%
5.00%
0.50%
0.00%
0.00%
2.40%
4.00%
4.00%
Aa1
Aa2
Aa3
Aaa
B1
B2
B3
Ba1
Ba2
Ba3
Baa1
Baa2
Baa3
Caa1
Caa2
Caa3
25
50
70
0
400
500
600
240
275
325
150
175
200
700
850
1000
9.00%
9.00%
9.00%
16.50%
10.88%
7.28%
6.00%
12.00%
18.75%
13.50%
10.13%
7.28%
12.00%
6.00%
6.00%
10.88%
6.00%
16.50%
9.60%
13.50%
6.38%
9.60%
9.00%
9.00%
9.00%
9.60%
6.00%
7.28%
7.73%
15.00%
7.05%
3.00%
3.00%
3.00%
10.50%
4.88%
1.28%
0.00%
6.00%
12.75%
7.50%
4.13%
1.28%
6.00%
0.00%
0.00%
4.88%
0.00%
10.50%
3.60%
7.50%
0.38%
3.60%
3.00%
3.00%
3.00%
3.60%
0.00%
1.28%
1.73%
9.00%
1.05%
1.77%
NA
5.53%
NA
8.95%
1.62%
1.50%
NA
NA
7.20%
NA
NA
NA
1.08%
2.32%
NA
1.35%
NA
NA
NA
1.19%
5.39%
3.23%
NA
2.69%
5.40%
NA
1.92%
4.88%
NA
1.40%
7.61%
NA
13.25%
NA
18.38%
7.38%
7.20%
NA
NA
15.75%
NA
NA
NA
6.57%
8.43%
NA
6.98%
NA
NA
NA
6.74%
13.04%
9.80%
NA
8.99%
13.05%
NA
7.83%
12.27%
NA
7.05%
1.61%
NA
7.25%
NA
12.38%
1.38%
1.20%
NA
NA
9.75%
NA
NA
NA
0.57%
2.43%
NA
0.98%
NA
NA
NA
0.74%
7.04%
3.80%
NA
2.99%
7.05%
NA
1.83%
6.27%
NA
1.05%
10.13%
8.63%
7.28%
6.75%
9.00%
12.00%
8.25%
6.00%
7.05%
7.73%
7.73%
8.25%
8.25%
15.00%
12.00%
10.88%
9.60%
9.00%
6.00%
6.00%
15.00%
6.00%
7.28%
15.00%
9.00%
12.00%
12.00%
9.00%
10.13%
7.50%
10.88%
4.13%
2.63%
1.28%
0.75%
3.00%
6.00%
2.25%
0.00%
1.05%
1.73%
1.73%
2.25%
2.25%
9.00%
6.00%
4.88%
3.60%
3.00%
0.00%
0.00%
9.00%
0.00%
1.28%
9.00%
3.00%
6.00%
6.00%
3.00%
4.13%
1.50%
4.88%
NA
2.92%
1.72%
NA
NA
5.21%
3.03%
NA
NA
1.69%
NA
NA
2.01%
NA
NA
NA
NA
NA
1.45%
1.14%
NA
0.44%
NA
NA
1.82%
NA
NA
2.06%
2.42%
2.68%
6.48%
NA
9.33%
7.53%
NA
NA
12.77%
9.50%
NA
NA
7.49%
NA
NA
7.97%
NA
NA
NA
NA
NA
7.13%
6.66%
NA
5.61%
NA
NA
7.68%
NA
NA
8.04%
8.58%
8.97%
14.67%
NA
3.33%
1.53%
NA
NA
6.77%
3.50%
NA
NA
1.49%
NA
NA
1.97%
NA
NA
NA
NA
NA
1.13%
0.66%
NA
-0.39%
NA
NA
1.68%
NA
NA
2.04%
2.58%
2.97%
8.67%
6.75%
9.00%
8.25%
7.05%
12.00%
6.00%
7.50%
7.50%
7.73%
9.00%
12.00%
12.00%
10.88%
6.00%
6.00%
7.05%
8.25%
8.25%
9.00%
9.60%
13.50%
6.75%
6.00%
6.00%
9.60%
12.00%
12.00%
0.75%
3.00%
2.25%
1.05%
6.00%
0.00%
1.50%
1.50%
1.73%
3.00%
6.00%
6.00%
4.88%
0.00%
0.00%
1.05%
2.25%
2.25%
3.00%
3.60%
7.50%
0.75%
0.00%
0.00%
3.60%
6.00%
6.00%
2.06%
4.43%
2.91%
1.52%
NA
NA
2.87%
NA
2.13%
5.27%
NA
NA
NA
0.82%
0.76%
NA
2.08%
NA
NA
2.83%
8.86%
NA
0.95%
0.70%
NA
9.46%
3.89%
8.04%
11.60%
9.32%
7.23%
NA
NA
9.26%
NA
8.15%
12.86%
NA
NA
NA
6.18%
6.09%
NA
8.07%
NA
NA
9.20%
18.24%
NA
6.38%
6.00%
NA
19.14%
10.79%
2.04%
5.60%
3.32%
1.23%
NA
NA
3.26%
NA
2.15%
6.86%
NA
NA
NA
0.18%
0.09%
NA
2.07%
NA
NA
3.20%
12.24%
NA
0.38%
0.00%
NA
13.14%
4.79%
ed in ascending order
Country
GDP
Albania
Angola
Argentina
Armenia
Australia
Austria [1]
Azerbaijan
Bahamas
Bahrain
Bangladesh
Barbados
Belarus
Belgium [1]
Belize
Bermuda
Bolivia
Bosnia and Herzegovina
Botswana
Brazil
Bulgaria
Cambodia
Canada
Cayman Islands
Chile
China
Colombia
Costa Rica
Croatia
Cuba
Cyprus [1]
Czech Republic
Denmark
Dominican Republic
Ecuador
Egypt
El Salvador
Estonia
Fiji Islands
Finland [1]
France [1]
Georgia
Germany [1]
Greece [1]
Guatemala
Honduras
Hong Kong
Hungary
Iceland
India
Indonesia
Ireland [1]
Isle of Man
Israel
Italy [1]
Jamaica
Japan
Jordan
Kazakhstan
Korea
Kuwait
Latvia
Lebanon
Lithuania
Luxembourg [1]
Macao
Malaysia
Malta [1]
Mauritius
Mexico
Moldova
Mongolia
Montenegro
Morocco
Namibia
Netherlands [1]
New Zealand
Nicaragua
Norway
Oman
Pakistan
Panama
Papua New Guinea
Paraguay
Peru
Philippines
298.7
46.9
17.3
243.7
140
14.1
1848
846.8
217.3
3
242.9
2194.8
15.1
5867.2
28.8
186.2
1116.2
176.6
28.3
42.2
42.7
59.5
36.4
278.7
8.9
11.3
1155.3
7
8.6
4.6
100.2
12.3
836.3
142.5
7.3
485.8
71.8
211.1
30.7
12.9
23.9
176.7
224.8
Caa1
Ba1
B2
Aa1
Ba1
Baa3
Baa3
Baa3
Ba1
Aaa
A1
A3
B3
Aa3
Ba2
Baa2
A1
Aa2
Baa3
B1
Baa1
Aaa
Aa3
A3
A3
Baa1
Baa1
B3
B1
Ba3
Ba1
Baa3
Aaa
Aaa
B3
Aaa
A1
B3
Baa3
B1
B1
Baa3
Ba2
7.00%
2.40%
5.00%
0.25%
2.40%
2.00%
2.00%
2.00%
2.40%
0.00%
0.85%
1.15%
6.00%
0.70%
2.75%
1.75%
0.85%
0.50%
2.00%
4.00%
1.50%
0.00%
0.70%
1.15%
1.15%
1.50%
1.50%
6.00%
4.00%
3.25%
2.40%
2.00%
0.00%
0.00%
6.00%
0.00%
0.85%
6.00%
2.00%
4.00%
4.00%
2.00%
2.75%
16.50%
9.60%
13.50%
6.38%
9.60%
9.00%
9.00%
9.00%
9.60%
6.00%
7.28%
7.73%
15.00%
7.05%
10.13%
8.63%
7.28%
6.75%
9.00%
12.00%
8.25%
6.00%
7.05%
7.73%
7.73%
8.25%
8.25%
15.00%
12.00%
10.88%
9.60%
9.00%
6.00%
6.00%
15.00%
6.00%
7.28%
15.00%
9.00%
12.00%
12.00%
9.00%
10.13%
Poland
Portugal [1]
Qatar
Romania
Russia
Saudi Arabia
Senegal
Singapore
Slovakia
Slovenia [1]
South Africa
Spain
Sri Lanka
St. Vincent & the Grenadines
Suriname
Sweden
Switzerland
Taiwan
Thailand
Trinidad and Tobago
Tunisia
Turkey
Ukraine
United Arab Emirates
United Kingdom
United States of America
Uruguay
Venezuela
Vietnam
514.5
237.5
173
179.8
1857.8
576.8
14.3
239.7
96
49.5
408.2
408.2
59.2
0.7
0.5
538.1
635.7
393.2
345.6
22.5
45.9
773.1
165.2
360.2
2431.6
15094
46.7
316.5
124
A2
Ba3
Aa2
Baa3
Baa1
Aa3
B1
Aaa
A2
A2
A3
Baa3
B1
B1
Ba3
Aaa
Aaa
Aa3
Baa1
Baa1
Baa3
Ba1
B2
Aa2
Aaa
Aaa
Ba1
B1
B1
1.00%
3.25%
0.50%
2.00%
1.50%
0.70%
4.00%
0.00%
1.00%
1.00%
1.15%
2.00%
4.00%
4.00%
3.25%
0.00%
0.00%
0.70%
1.50%
1.50%
2.00%
2.40%
5.00%
0.50%
0.00%
0.00%
2.40%
4.00%
4.00%
7.50%
10.88%
6.75%
9.00%
8.25%
7.05%
12.00%
6.00%
7.50%
7.50%
7.73%
9.00%
12.00%
12.00%
10.88%
6.00%
6.00%
7.05%
8.25%
8.25%
9.00%
9.60%
13.50%
6.75%
6.00%
6.00%
9.60%
12.00%
12.00%
10.50%
3.60%
7.50%
0.38%
3.60%
3.00%
3.00%
3.00%
3.60%
0.00%
1.28%
1.73%
9.00%
1.05%
4.13%
2.63%
1.28%
0.75%
3.00%
6.00%
2.25%
0.00%
1.05%
1.73%
1.73%
2.25%
2.25%
9.00%
6.00%
4.88%
3.60%
3.00%
0.00%
0.00%
9.00%
0.00%
1.28%
9.00%
3.00%
6.00%
6.00%
3.00%
4.13%
Western Europe
Central and South America
Central and South America
Asia
Eastern Europe & Russia
Western Europe
Asia
Asia
Western Europe
Financial Center
Middle East
Western Europe
Caribbean
Asia
Middle East
Eastern Europe & Russia
Asia
Middle East
Eastern Europe & Russia
Middle East
Eastern Europe & Russia
Financial Center
Asia
Asia
Western Europe
Africa
Central and South America
Eastern Europe & Russia
Asia
Eastern Europe & Russia
Africa
Africa
Western Europe
Australia & New Zealand
Central and South America
Western Europe
Middle East
Asia
Central and South America
Asia
Central and South America
Central and South America
Asia
1.50%
4.88%
0.75%
3.00%
2.25%
1.05%
6.00%
0.00%
1.50%
1.50%
1.73%
3.00%
6.00%
6.00%
4.88%
0.00%
0.00%
1.05%
2.25%
2.25%
3.00%
3.60%
7.50%
0.75%
0.00%
0.00%
3.60%
6.00%
6.00%
Values
Row Labels
Average of Adj. Default SpreadAverage of Total Risk Premium
Average of Country Risk Premium
Africa
2.48%
9.72%
3.72%
Asia
2.38%
9.57%
3.57%
Australia & New Zealand
0.00%
6.00%
0.00%
Caribbean
3.01%
10.52%
4.52%
Central and South America
3.24%
10.85%
4.85%
Eastern Europe & Russia
2.63%
9.94%
3.94%
Financial Center
0.00%
6.00%
0.00%
Middle East
1.35%
8.03%
2.03%
North America
0.00%
6.00%
0.00%
Western Europe
1.27%
7.90%
1.90%
Grand Total
2.22%
9.34%
3.34%
y Risk Premium
Country
Angola
Botswana
Egypt
Mauritius
Morocco
Namibia
Senegal
South Africa
Tunisia
AFRICA
Bangladesh
110.6
Cambodia
12.9
China
7298
Fiji Islands
3.8
Hong Kong
243.7
India
1848
Indonesia
846.8
Korea
1116
Macao
36.4
Malaysia
278.7
Mongolia
8.6
Pakistan
211.1
Papua New Guinea
12.9
Philippines
224.8
Singapore
239.7
Sri Lanka
59.2
Taiwan
393.2
Thailand
345.6
Vietnam
124
ASIA EXCLUDING JAPAN
13414
0.82%
0.10%
54.41%
0.03%
1.82%
13.78%
6.31%
8.32%
0.27%
2.08%
0.06%
1.57%
0.10%
1.68%
1.79%
0.44%
2.93%
2.58%
0.92%
100.00%
0.03%
0.00%
0.38%
0.00%
0.00%
0.28%
0.13%
0.07%
0.00%
0.02%
0.00%
0.09%
0.00%
0.05%
0.00%
0.02%
0.02%
0.04%
0.04%
1.18%
0.09%
0.01%
3.84%
0.00%
0.12%
1.24%
0.57%
0.61%
0.02%
0.16%
0.01%
0.24%
0.01%
0.17%
0.11%
0.05%
0.21%
0.21%
0.11%
7.77%
0.04%
0.01%
0.57%
0.00%
0.01%
0.41%
0.19%
0.11%
0.00%
0.04%
0.00%
0.14%
0.01%
0.07%
0.00%
0.03%
0.03%
0.06%
0.06%
1.77%
Japan
JAPAN
5867
5867
100.00%
100.00%
0.70%
0.70%
7.05%
7.05%
1.05%
1.05%
Australia
New Zealand
AUSTRALIA & NZ
1372
142.5
1514
90.59%
9.41%
100.00%
0.00%
0.00%
0.00%
5.44%
0.56%
6.00%
0.00%
0.00%
0.00%
7.8
3.7
7.3
4.41%
2.09%
4.12%
0.05%
0.04%
0.02%
0.34%
0.19%
0.28%
0.08%
0.06%
0.03%
Bahamas
Barbados
Bermuda
Cayman Islands
3
Cuba
60.8
Dominican Republic
55.6
Jamaica
15.1
St. Vincent & the Grenadines0.7
Suriname
0.5
Trinidad and Tobago
22.5
CARIBBEAN
177
1.69%
34.35%
31.41%
8.53%
0.40%
0.28%
12.71%
100.00%
0.01%
2.40%
1.26%
0.51%
0.02%
0.01%
0.19%
4.51%
0.12%
5.67%
3.77%
1.28%
0.05%
0.03%
1.05%
12.77%
0.02%
3.61%
1.88%
0.77%
0.02%
0.01%
0.29%
6.77%
Argentina
446
8.14%
Belize
1.5
0.03%
Bolivia
24.4
0.45%
Brazil
2477
45.18%
Chile
248.6
4.54%
Colombia
331.7
6.05%
Costa Rica
41
0.75%
Ecuador
67
1.22%
El Salvador
23.1
0.42%
Guatemala
46.9
0.86%
Honduras
17.3
0.32%
Mexico
1155
21.08%
Nicaragua
7.3
0.13%
Panama
30.7
0.56%
Paraguay
23.9
0.44%
Peru
176.7
3.22%
Uruguay
46.7
0.85%
Venezuela
316.5
5.77%
CENTRAL & SOUTH AMERICA
5481
100.00%
0.49%
0.00%
0.01%
0.79%
0.03%
0.12%
0.01%
0.10%
0.01%
0.02%
0.02%
0.32%
0.01%
0.01%
0.02%
0.06%
0.02%
0.23%
2.28%
1.22%
0.00%
0.05%
3.90%
0.32%
0.54%
0.07%
0.23%
0.04%
0.08%
0.04%
1.74%
0.02%
0.05%
0.05%
0.29%
0.08%
0.69%
9.42%
0.73%
0.00%
0.02%
1.19%
0.05%
0.18%
0.02%
0.16%
0.02%
0.03%
0.02%
0.47%
0.01%
0.02%
0.03%
0.10%
0.03%
0.35%
3.42%
Albania
13
Armenia
10.2
Azerbaijan
63.4
Belarus
55.1
Bosnia and Herzegovina 18.1
Bulgaria
53.5
Croatia
63.9
Czech Republic
215.2
Estonia
22.2
Georgia
14.4
Hungary
140
Kazakhstan
186.2
Latvia
28.3
Lithuania
42.7
0.01%
0.01%
0.03%
0.09%
0.03%
0.02%
0.03%
0.05%
0.00%
0.01%
0.09%
0.09%
0.01%
0.02%
0.04%
0.03%
0.15%
0.22%
0.07%
0.12%
0.15%
0.41%
0.04%
0.04%
0.35%
0.42%
0.07%
0.09%
0.02%
0.01%
0.05%
0.13%
0.04%
0.04%
0.05%
0.07%
0.01%
0.02%
0.13%
0.13%
0.02%
0.03%
0.34%
0.27%
1.67%
1.45%
0.48%
1.41%
1.68%
5.66%
0.58%
0.38%
3.68%
4.90%
0.74%
1.12%
Moldova
7
0.18%
Montenegro
4.6
0.12%
Poland
514.5
13.54%
Romania
179.8
4.73%
Russia
1858
48.88%
Slovakia
96
2.53%
Slovenia [1]
49.5
1.30%
Ukraine
165.2
4.35%
EASTERN EUROPE & RUSSIA
3801
100.00%
0.01%
0.00%
0.14%
0.09%
0.73%
0.03%
0.01%
0.22%
1.73%
0.03%
0.01%
1.02%
0.43%
4.03%
0.19%
0.10%
0.59%
8.60%
0.02%
0.01%
0.20%
0.14%
1.10%
0.04%
0.02%
0.33%
2.60%
Isle of Man
4.1
Luxembourg [1]
59.5
FINANCIAL CENTERS 63.6
6.45%
93.55%
100.00%
0.00%
0.00%
0.00%
0.39%
5.61%
6.00%
0.00%
0.00%
0.00%
Bahrain
Israel
Jordan
Kuwait
Lebanon
Oman
Qatar
Saudi Arabia
United Arab Emirates
MIDDLE EAST
22.9
242.9
28.8
176.6
42.2
71.8
173
576.8
360.2
1695
1.35%
14.33%
1.70%
10.42%
2.49%
4.24%
10.21%
34.03%
21.25%
100.00%
0.02%
0.12%
0.05%
0.05%
0.10%
0.04%
0.05%
0.24%
0.11%
0.77%
0.11%
1.04%
0.17%
0.70%
0.30%
0.31%
0.69%
2.40%
1.43%
7.16%
0.03%
0.18%
0.07%
0.08%
0.15%
0.05%
0.08%
0.36%
0.16%
1.16%
Canada
1736
United States of America 15094
NORTH AMERICA
16830
10.31%
89.69%
100.00%
0.00%
0.00%
0.00%
0.62%
5.38%
6.00%
0.00%
0.00%
0.00%
2.47%
3.01%
0.15%
1.96%
1.57%
16.33%
21.03%
1.76%
0.08%
1.28%
12.93%
0.05%
4.93%
2.86%
0.00%
0.02%
0.00%
0.00%
0.00%
0.00%
0.00%
0.12%
0.00%
0.03%
0.15%
0.00%
0.00%
0.00%
0.15%
0.21%
0.02%
0.12%
0.09%
0.98%
1.26%
0.29%
0.01%
0.12%
1.00%
0.00%
0.30%
0.17%
0.00%
0.03%
0.01%
0.00%
0.00%
0.00%
0.00%
0.18%
0.00%
0.05%
0.22%
0.00%
0.00%
0.00%
Austria [1]
Belgium [1]
Cyprus [1]
Denmark
Finland [1]
France [1]
Germany [1]
Greece [1]
Iceland
Ireland [1]
Italy [1]
Malta [1]
Netherlands [1]
Norway
418.5
511.5
24.7
332.7
266.1
2773
3571
298.7
14.1
217.3
2195
8.9
836.3
485.8
Portugal [1]
Spain
Sweden
Switzerland
Turkey
United Kingdom
WESTERN EUROPE
237.5
408.2
538.1
635.7
773.1
2432
16977
1.40%
2.40%
3.17%
3.74%
4.55%
14.32%
100.00%
0.05%
0.05%
0.00%
0.00%
0.03%
0.00%
0.46%
0.15%
0.22%
0.19%
0.22%
0.44%
0.86%
6.80%
0.07%
0.07%
0.00%
0.00%
0.16%
0.00%
0.80%
3.25%
5.00%
0.70%
4.00%
0.25%
2.00%
2.00%
0.85%
0.70%
1.15%
4.00%
6.00%
4.00%
2.75%
0.00%
4.00%
0.70%
1.50%
4.00%
10.88%
13.50%
7.05%
12.00%
6.38%
9.00%
9.00%
7.28%
7.05%
7.73%
12.00%
15.00%
12.00%
10.13%
6.00%
12.00%
7.05%
8.25%
12.00%
4.88%
7.50%
1.05%
6.00%
0.38%
3.00%
3.00%
1.28%
1.05%
1.73%
6.00%
9.00%
6.00%
4.13%
0.00%
6.00%
1.05%
2.25%
6.00%
0.70%
7.05%
1.05%
Japan
0.00%
0.00%
6.00%
6.00%
0.00%
0.00%
1.15%
2.00%
0.50%
7.73%
9.00%
6.75%
1.73%
3.00%
0.75%
Caribbean
Caribbean
Caribbean
0.70%
7.00%
4.00%
6.00%
4.00%
3.25%
1.50%
7.05%
16.50%
12.00%
15.00%
12.00%
10.88%
8.25%
1.05%
10.50%
6.00%
9.00%
6.00%
4.88%
2.25%
Caribbean
6.00%
2.00%
3.25%
1.75%
0.70%
2.00%
2.00%
8.50%
2.75%
2.40%
5.00%
1.50%
6.00%
2.00%
4.00%
2.00%
2.40%
4.00%
15.00%
9.00%
10.88%
8.63%
7.05%
9.00%
9.00%
18.75%
10.13%
9.60%
13.50%
8.25%
15.00%
9.00%
12.00%
9.00%
9.60%
12.00%
9.00%
3.00%
4.88%
2.63%
1.05%
3.00%
3.00%
12.75%
4.13%
3.60%
7.50%
2.25%
9.00%
3.00%
6.00%
3.00%
3.60%
6.00%
4.00%
2.75%
2.00%
6.00%
6.00%
1.75%
2.00%
0.85%
0.85%
3.25%
2.40%
1.75%
2.00%
1.50%
12.00%
10.13%
9.00%
15.00%
15.00%
8.63%
9.00%
7.28%
7.28%
10.88%
9.60%
8.63%
9.00%
8.25%
6.00%
4.13%
3.00%
9.00%
9.00%
2.63%
3.00%
1.28%
1.28%
4.88%
3.60%
2.63%
3.00%
2.25%
Caribbean
Caribbean
Caribbean
Caribbean
Caribbean
Caribbean
6.00%
3.25%
1.00%
2.00%
1.50%
1.00%
1.00%
5.00%
15.00%
10.88%
7.50%
9.00%
8.25%
7.50%
7.50%
13.50%
9.00%
4.88%
1.50%
3.00%
2.25%
1.50%
1.50%
7.50%
0.00%
0.00%
6.00%
6.00%
0.00%
0.00%
Financial Center
1.50%
0.85%
2.75%
0.50%
4.00%
0.85%
0.50%
0.70%
0.50%
8.25%
7.28%
10.13%
6.75%
12.00%
7.28%
6.75%
7.05%
6.75%
2.25%
1.28%
4.13%
0.75%
6.00%
1.28%
0.75%
1.05%
0.75%
Middle East
0.00%
0.00%
6.00%
6.00%
0.00%
0.00%
North America
0.00%
0.70%
3.25%
0.00%
0.00%
0.00%
0.00%
7.00%
2.00%
2.40%
1.15%
1.15%
0.00%
0.00%
6.00%
7.05%
10.88%
6.00%
6.00%
6.00%
6.00%
16.50%
9.00%
9.60%
7.73%
7.73%
6.00%
6.00%
0.00%
1.05%
4.88%
0.00%
0.00%
0.00%
0.00%
10.50%
3.00%
3.60%
1.73%
1.73%
0.00%
0.00%
Financial Center
Middle East
Middle East
Middle East
Middle East
Middle East
Middle East
Middle East
Middle East
North America
Western Europe
Western Europe
Western Europe
Western Europe
Western Europe
Western Europe
Western Europe
Western Europe
Western Europe
Western Europe
Western Europe
Western Europe
Western Europe
Western Europe
3.25%
2.00%
0.00%
0.00%
0.70%
0.00%
10.88%
9.00%
6.00%
6.00%
9.60%
6.00%
4.88%
3.00%
0.00%
0.00%
3.60%
0.00%
Western Europe
Western Europe
Western Europe
Western Europe
Western Europe
Western Europe
Rating
Albania
B1
Angola
Ba3
Argentina
B3
Armenia
Ba2
Australia
Aaa
Austria [1]
Aaa
Azerbaijan
Baa3
Bahamas
A3
Bahrain
Baa1
Bangladesh
Ba3
Barbados
Baa3
Belarus
B3
Belgium [1]
Aa3
Belize
Ca
Bermuda
Aa2
Bolivia
Ba3
Bosnia and Herzegovina B3
Botswana
A2
Brazil
Baa2
Bulgaria
Baa2
Cambodia
B2
Canada
Aaa
Cayman Islands
Aa3
Chile
Aa3
China
Aa3
Colombia
Baa3
Costa Rica
Baa3
Croatia
Baa3
Cuba
Caa1
Cyprus [1]
Ba3
Czech Republic
A1
Denmark
Aaa
Dominican Republic
B1
Ecuador
Caa2
Egypt
B2
El Salvador
Ba2
Estonia
A1
Fiji Islands
B1
Finland [1]
Aaa
France [1]
Aaa
Georgia
Ba3
Germany [1]
Aaa
Greece [1]
C
Guatemala
Ba1
Honduras
B2
Hong Kong
Aa1
Hungary
Ba1
Iceland
Baa3
India
Baa3
Indonesia
Baa3
Ireland [1]
Ba1
Isle of Man
Aaa
Israel
A1
Italy [1]
A3
Jamaica
B3
Japan
Aa3
Rating
B1
Ba3
B3
Ba2
Aaa
Aaa
Baa3
A3
Baa1
Ba3
Baa3
B3
Aa3
Ca
Aa2
Ba3
B3
A2
Baa2
Baa2
B2
Aaa
Aa3
Aa3
Aa3
Baa3
Baa3
Baa3
Caa1
Ba3
A1
Aaa
B1
Caa2
B2
Ba2
A1
B1
Aaa
Aaa
Ba3
Aaa
C
Ba1
B2
Aa1
Ba1
Baa3
Baa3
Baa3
Ba1
Aaa
A1
A3
B3
Aa3
GOVERN
IN LOCAL A
Local-Currency Government Bond Ratings reflect the governments capacity and
Foreign-Currency Government Bond Ratings reflect the governments capacity a
Jordan
Ba2
Kazakhstan
Baa2
Korea
A1
Kuwait
Aa2
Latvia
Baa3
Lebanon
B1
Lithuania
Baa1
Luxembourg [1]
Aaa
Macao
Aa3
Malaysia
A3
Malta [1]
A3
Mauritius
Baa1
Mexico
Baa1
Moldova
B3
Mongolia
B1
Montenegro
Ba3
Morocco
Ba1
Namibia
Baa3
Netherlands [1]
Aaa
New Zealand
Aaa
Nicaragua
B3
Norway
Aaa
Oman
A1
Pakistan
B3
Panama
Baa3
Papua New Guinea
B1
Paraguay
B1
Peru
Baa3
Philippines
Ba2
Poland
A2
Portugal [1]
Ba3
Qatar
Aa2
Romania
Baa3
Russia
Baa1
Saudi Arabia
Aa3
Senegal
B1
Singapore
Aaa
Slovakia
A2
Slovenia [1]
A2
South Africa
A3
Spain
Baa3
Sri Lanka
B1
St. Vincent & the Grenadines
B1
Suriname
B1
Sweden
Aaa
Switzerland
Aaa
Taiwan
Aa3
Thailand
Baa1
Trinidad and Tobago Baa1
Tunisia
Baa3
Turkey
Ba1
Ukraine
B2
United Arab Emirates Aa2
United Kingdom
Aaa
United States of AmericaAaa
Uruguay
Ba1
Venezuela
B2
Ba2
Baa2
A1
Aa2
Baa3
B1
Baa1
Aaa
Aa3
A3
A3
Baa1
Baa1
B3
B1
Ba3
Ba1
Baa3
Aaa
Aaa
B3
Aaa
A1
B3
Baa3
B1
B1
Baa3
Ba2
A2
Ba3
Aa2
Baa3
Baa1
Aa3
B1
Aaa
A2
A2
A3
Baa3
B1
B1
Ba3
Aaa
Aaa
Aa3
Baa1
Baa1
Baa3
Ba1
B2
Aa2
Aaa
Aaa
Ba1
B1
Vietnam
B1
B1
Country
Albania
Angola
Argentina
Armenia
Australia
Austria [1]
Azerbaijan
Bahamas
Bahrain
Bangladesh
Barbados
Belarus
Belgium [1]
Belize
Bermuda
Bolivia
Bosnia and Herzegovina
Botswana
Brazil
Bulgaria
Cambodia
Canada
Cayman Islands
Chile
China
Colombia
Costa Rica
Croatia
Cuba
Cyprus [1]
Czech Republic
Denmark
Dominican Republic
Ecuador
Egypt
El Salvador
Estonia
Fiji Islands
Finland [1]
France [1]
Georgia
Germany [1]
Region
Eastern Europe & Russia
Africa
Central and South America
Eastern Europe & Russia
Australia & New Zealand
Western Europe
Eastern Europe & Russia
Caribbean
Middle East
Asia
Caribbean
Eastern Europe & Russia
Western Europe
Central and South America
Caribbean
Central and South America
Eastern Europe & Russia
Africa
Central and South America
Eastern Europe & Russia
Asia
North America
Caribbean
Central and South America
Asia
Central and South America
Central and South America
Eastern Europe & Russia
Caribbean
Western Europe
Eastern Europe & Russia
Western Europe
Caribbean
Central and South America
Africa
Central and South America
Eastern Europe & Russia
Asia
Western Europe
Western Europe
Eastern Europe & Russia
Western Europe
Greece [1]
Guatemala
Honduras
Hong Kong
Hungary
Iceland
India
Indonesia
Ireland [1]
Isle of Man
Israel
Italy [1]
Jamaica
Japan
Jordan
Kazakhstan
Korea
Kuwait
Latvia
Lebanon
Lithuania
Luxembourg [1]
Macao
Malaysia
Malta [1]
Mauritius
Mexico
Moldova
Mongolia
Montenegro
Morocco
Netherlands [1]
New Zealand
Nicaragua
Norway
Oman
Pakistan
Panama
Papua New Guinea
Paraguay
Peru
Philippines
Poland
Western Europe
Central and South America
Central and South America
Asia
Eastern Europe & Russia
Western Europe
Asia
Asia
Western Europe
Financial Center
Middle East
Western Europe
Caribbean
Asia
Middle East
Eastern Europe & Russia
Asia
Middle East
Eastern Europe & Russia
Middle East
Eastern Europe & Russia
Financial Center
Asia
Asia
Western Europe
Africa
Central and South America
Eastern Europe & Russia
Asia
Eastern Europe & Russia
Africa
Western Europe
Australia & New Zealand
Central and South America
Western Europe
Middle East
Asia
Central and South America
Asia
Central and South America
Central and South America
Asia
Eastern Europe & Russia
Portugal [1]
Western Europe
Qatar
Middle East
Romania
Eastern Europe & Russia
Russia
Eastern Europe & Russia
Saudi Arabia
Middle East
Senegal
Africa
Singapore
Asia
Slovakia
Eastern Europe & Russia
Slovenia [1]
Eastern Europe & Russia
South Africa
Africa
Spain
Western Europe
Sri Lanka
Asia
St. Vincent & the Grenadines
Caribbean
Suriname
Caribbean
Sweden
Western Europe
Switzerland
Western Europe
Taiwan
Asia
Thailand
Asia
Trinidad and Tobago
Caribbean
Tunisia
Africa
Turkey
Western Europe
Turkmenistan
Eastern Europe & Russia
Ukraine
Eastern Europe & Russia
United Arab Emirates
Middle East
United Kingdom
Western Europe
United States of America North America
Uruguay
Central and South America
Venezuela
Central and South America
Vietnam
Asia
Rating
Albania
B1
Angola
Ba3
Argentina
B3
Armenia
Ba2
Australia
Aaa
Austria [1]
Aaa
Azerbaijan
Baa3
Bahamas
A3
Bahrain
Baa1
Bangladesh
Ba3
Barbados
Baa3
Belarus
B3
Belgium [1]
Aa3
Belize
Ca
Bermuda
Aa2
Bolivia
Ba3
Bosnia and HerzegovinaB3
Botswana
A2
Brazil
Baa2
Bulgaria
Baa2
Cambodia
B2
Canada
Aaa
Cayman Islands
Aa3
Chile
Aa3
China
Aa3
Colombia
Baa3
Costa Rica
Baa3
Croatia
Baa3
Cuba
Caa1
Cyprus [1]
Ba3
Czech Republic
A1
Denmark
Aaa
Dominican Republic
B1
Ecuador
Caa2
Egypt
B2
El Salvador
Ba2
Estonia
A1
Fiji Islands
B1
Finland [1]
Aaa
France [1]
Aaa
Georgia
Ba3
Germany [1]
Aaa
Greece [1]
C
Guatemala
Ba1
Honduras
B2
Hong Kong
Aa1
Hungary
Ba1
Iceland
Baa3
India
Baa3
Indonesia
Baa3
Ireland [1]
Ba1
Isle of Man
Aaa
Israel
A1
Italy [1]
A3
Jamaica
B3
Japan
Aa3
10-year CDS
NA
NA
13.62%
NA
1.05%
2.00%
NA
NA
3.77%
NA
NA
NA
2.67%
NA
NA
NA
NA
NA
2.07%
3.69%
NA
NA
NA
1.42%
1.80%
1.77%
NA
5.53%
NA
8.95%
1.62%
1.50%
NA
NA
7.20%
NA
NA
NA
1.08%
2.32%
NA
1.35%
NA
NA
NA
1.19%
5.39%
3.23%
NA
2.69%
5.40%
NA
1.92%
4.88%
NA
1.40%
Jordan
Ba2
Kazakhstan
Baa2
Korea
A1
Kuwait
Aa2
Latvia
Baa3
Lebanon
B1
Lithuania
Baa1
Luxembourg [1]
Aaa
Macao
Aa3
Malaysia
A3
Malta [1]
A3
Mauritius
Baa1
Mexico
Baa1
Moldova
B3
Mongolia
B1
Montenegro
Ba3
Morocco
Ba1
Namibia
Baa3
Netherlands [1]
Aaa
New Zealand
Aaa
Nicaragua
B3
Norway
Aaa
Oman
A1
Pakistan
B3
Panama
Baa3
Papua New Guinea
B1
Paraguay
B1
Peru
Baa3
Philippines
Ba2
Poland
A2
Portugal [1]
Ba3
Qatar
Aa2
Romania
Baa3
Russia
Baa1
Saudi Arabia
Aa3
Senegal
B1
Singapore
Aaa
Slovakia
A2
Slovenia [1]
A2
South Africa
A3
Spain
Baa3
Sri Lanka
B1
St. Vincent & the Grenadines
B1
Suriname
Ba3
Sweden
Aaa
Switzerland
Aaa
Taiwan
Aa3
Thailand
Baa1
Trinidad and Tobago Baa1
Tunisia
Baa3
Turkey
Ba1
Ukraine
B2
United Arab Emirates Aa2
United Kingdom
Aaa
United States of AmericaAaa
Uruguay
Ba1
Venezuela
B1
NA
2.92%
1.72%
NA
NA
5.21%
3.03%
NA
NA
1.69%
NA
NA
2.01%
NA
NA
NA
NA
NA
1.45%
1.14%
NA
0.44%
NA
NA
1.82%
NA
NA
2.06%
2.42%
2.68%
6.48%
2.06%
4.43%
2.91%
1.52%
NA
NA
2.87%
NA
2.13%
5.27%
NA
NA
NA
0.82%
0.76%
NA
2.08%
NA
NA
2.83%
8.86%
NA
0.95%
0.70%
NA
9.46%
Vietnam
B1
3.89%
Country
Std deviation in Equities (weekly over 2 years)Std deviation in Bond PriceRelative Standard Deviation
Argentina
Bangladesh
Bosnia
Brazil
Bulgaria
Chile
China
Colombia
Croatia
Czech Republic
Egypt
Estonia
Greece
Hungary
Iceland
India
Indonesia
Ireland
Israel
Italy
Kenya
Korea
Lativia
Lithuania
Macedonia
Malaysia
Mexico
Morocco
Namibia
Nigeria
Pakistan
Peru
Philippines
Poland
Portugal
Romania
Russia
Serbia
Slovakia
Slovenia
South Africa
Spain
29.85%
36.07%
14.21%
21.80%
16.62%
15.66%
22.00%
17.81%
15.00%
21.45%
26.29%
21.58%
32.90%
27.08%
14.31%
19.87%
20.58%
22.56%
18.58%
29.96%
28.41%
19.92%
15.24%
19.43%
16.87%
10.95%
18.02%
11.36%
19.51%
14.40%
16.66%
26.51%
18.35%
18.68%
20.46%
23.73%
24.41%
14.45%
17.06%
15.76%
16.33%
29.14%
18.27%
1.63
NA
NA
NA
NA
12.58%
1.73
NA
NA
8.50%
11.20%
14.52%
9.08%
10.90%
16.35%
1.84
1.96
1.23
1.65
1.97
1.61
NA
NA
39.17%
18.24%
12.41%
8.01%
20.43%
24.86%
9.20%
15.30%
0.84
NA
NA
6.55%
3.04
NA
NA
NA
NA
NA
NA
8.64%
11.06%
8.35%
1.27
NA
NA
NA
NA
7.54%
2.21
12.24%
12.24%
11.67%
29.69%
2.17
16.97%
1.40
12.55%
1.95
1.48
1.15
2.48
1.01
0.91
2.02
1.96
1.63
1.36
1.50
1.60
0.69
NA
NA
10.44%
12.63%
10.18%
30.83%
1.63
1.25
1.60
0.95
Sri Lanka
Thailand
Tunisia
Turkey
Ukraine
Venezuela
Vietnam
US
Average
Median
19.28%
17.77%
17.00%
24.52%
37.83%
14.38%
25.42%
19.55%
NA
NA
9.88%
1.80
NA
NA
11.97%
2.05
NA
NA
20.87%
12.65%
0.69
2.01
1.61
1.63
dard Deviation
Guatemala
Honduras
Hong Kong
Hungary
Iceland
India
Indonesia
Ireland [1]
Isle of Man
Israel
Italy [1]
Jamaica
Japan
Jordan
Kazakhstan
Korea
Kuwait
Latvia
Lebanon
Lithuania
Luxembourg [1]
Macao
Malaysia
Malta [1]
Mauritius
Mexico
Moldova
Mongolia
Montenegro
Morocco
Namibia
Netherlands [1]
New Zealand
Nicaragua
Norway
Oman
Pakistan
Panama
Papua New Guinea
Paraguay
Peru
Philippines
Poland
Portugal [1]
46.9
17.3
243.7
140
14.1
1848
846.8
217.3
3
242.9
2194.8
15.1
5867.2
28.8
186.2
1116.2
176.6
28.3
42.2
42.7
59.5
36.4
278.7
8.9
11.3
1155.3
7
8.6
4.6
100.2
12.3
836.3
142.5
7.3
485.8
71.8
211.1
30.7
12.9
23.9
176.7
224.8
514.5
237.5
Qatar
173
Romania
179.8
Russia
1857.8
Saudi Arabia
576.8
Senegal
14.3
Singapore
239.7
Slovakia
96
Slovenia [1]
49.5
South Africa
408.2
Spain [1]
1490.8
Sri Lanka
59.2
St. Vincent & the Grenadines
0.7
Suriname
0.5
Sweden
538.1
Switzerland
635.7
Taiwan
393.2
Thailand
345.6
Trinidad and Tobago 22.5
Tunisia
45.9
Turkey
773.1
Ukraine
165.2
United Arab Emirates360.2
United Kingdom 2431.6
United States of America
15094
Uruguay
46.7
Venezuela
316.5
Vietnam
124