Bond Yields In Emerging Economies

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Bond Yields In Emerging Economies

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Author : Laura Jaramillo
language : en
Publisher: International Monetary Fund
Release Date : 2012-08-01

Bond Yields In Emerging Economies written by Laura Jaramillo and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-01 with Business & Economics categories.

While many studies have looked into the determinants of yields on externally issued sovereign bonds of emerging economies, analysis of domestically issued bonds has hitherto been limited, despite their growing relevance. This paper finds that the extent to which fiscal variables affect domestic bond yields in emerging economies depends on the level of global risk aversion. During tranquil times in global markets, fiscal variables do not seem to be a significant determinant of domestic bond yields in emerging economies. However, when market participants are on edge, they pay greater attention to country-specific fiscal fundamentals, revealing greater alertness about default risk.

The Long Run Impact Of Sovereign Yields On Corporate Yields In Emerging Markets

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Author : Delong Li
language : en
Publisher: International Monetary Fund
Release Date : 2021-06-04

The Long Run Impact Of Sovereign Yields On Corporate Yields In Emerging Markets written by Delong Li and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-06-04 with Business & Economics categories.

We analyze the long-run impact of emerging-market sovereign bond yields on corporate bond yields, finding that the average pass-through is around one. The pass-through is larger in countries with greater sovereign risks and where sovereign bonds are more liquid. It is also greater for corporate bonds with lower ratings, shorter maturities, and for those issued by financial companies and government-related firms. Our results support theoretical arguments that corporate and sovereign yields are linked together through credit risks and liquidity premiums. Consequently, high sovereign risks may slowdown growth by persistently increasing private sector borrowing costs.

Bond Yield In Emerging Economies

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Author : Laura Jaramillo
language : en
Publisher:
Release Date : 2012

Bond Yield In Emerging Economies written by Laura Jaramillo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Debts, Public categories.

While many studies have looked into the determinants of yields on externally issued sovereign bonds of emerging economies, analysis of domestically issued bonds has hitherto been limited, despite their growing relevance. This paper finds that the extent to which fiscal variables affect domestic bond yields in emerging economies depends on the level of global risk aversion. During tranquil times in global markets, fiscal variables do not seem to be a significant determinant of domestic bond yields in emerging economies. However, when market participants are on edge, they pay greater attention to country-specific fiscal fundamentals, revealing greater alertness about default risk.

Foreign Participation In Emerging Markets Local Currency Bond Markets

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Author : Mr.Shanaka J. Peiris
language : en
Publisher: International Monetary Fund
Release Date : 2010-04-01

Foreign Participation In Emerging Markets Local Currency Bond Markets written by Mr.Shanaka J. Peiris and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-04-01 with Business & Economics categories.

This paper estimates the impact of foreign participation in determining long-term local currency government bond yields and volatility in a group of emerging markets from 2000-2009. The results of a panel data analysis of 10 emerging markets show that greater foreign participation in the domestic government bond market tends to significantly reduce long-term government yields. Moreover, greater foreign participation does not necessarily result in increased volatility in bond yields in emerging markets and, in fact, could even dampen volatility in some instances.

Emerging Market Local Currency Bond Yields And Foreign Holdings In The Post Lehman Period A Fortune Or Misfortune

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Author : Mr.Christian Ebeke
language : en
Publisher: International Monetary Fund
Release Date : 2014-02-12

Emerging Market Local Currency Bond Yields And Foreign Holdings In The Post Lehman Period A Fortune Or Misfortune written by Mr.Christian Ebeke and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-02-12 with Business & Economics categories.

The paper shows that foreign holdings of local currency government bonds in emerging market countries (EMs) have reduced bond yields but have somewhat increased yield volatility in the post-Lehman period. Econometric analyses conducted from a sample of 12 EMs demonstrate that these results are robust and causal. We use an identification strategy exploiting the geography-based measure of EMs financial remoteness vis-à-vis major offshore financial centers as an instrumental variable for the foreign holdings variable.The results also show that, in countries with weak fiscal and external positions, foreign holdings are greatly associated with increased yield volatility. A case study using Poland data elaborates on the cross country findings.

On International Integration Of Emerging Sovereign Bond Markets

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Author : Mr.Itai Agur
language : en
Publisher: International Monetary Fund
Release Date : 2018-01-25

On International Integration Of Emerging Sovereign Bond Markets written by Mr.Itai Agur and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-01-25 with Business & Economics categories.

The paper investigates the international integration of EM sovereign dollar-denominated and local-currency bond markets. Factor analysis is used to examine movements in sovereign bond yields and common sources of yield variation. The results suggest that EM dollar-denominated sovereign debt markets are highly integrated; a single common factor that is highly correlated with US and EU interest rates explains, on average, about 80 percent of the total variability in yields. EM sovereign local currency bond markets are not as internationally integrated, and three common factors explain about 74 percent of the total variability. But a factor highly correlated with US and EU interest rates still explains 63 percent of the yield variation accounted for by common factors. That said, there is some diversity among EM countries in the importance of common factors in affecting sovereign debt yields.

Global Spillovers Into Domestic Bond Markets In Emerging Market Economies

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Author : Laura Jaramillo
language : en
Publisher: International Monetary Fund
Release Date : 2013-12-23

Global Spillovers Into Domestic Bond Markets In Emerging Market Economies written by Laura Jaramillo and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-23 with Business & Economics categories.

While fiscal conditions remain healthier than in advanced economies, emerging economies continue to be exposed to negative spillovers if global conditions were to become less favorable. This paper finds that domestic bond yields in emerging economies are heavily influenced by two international factors: global risk appetite and global liquidity. Using a novel approach, the analysis goes on to show that the vulnerability of emerging economies to these factors is not uniform but rather depends on country specific characteristics, namely fiscal fundamentals, financial sector openness and the external current account balance.

Global Financial Spillovers To Emerging Market Sovereign Bond Markets

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Author : Mr. Christian Ebeke
language : en
Publisher: International Monetary Fund
Release Date : 2015-06-26

Global Financial Spillovers To Emerging Market Sovereign Bond Markets written by Mr. Christian Ebeke and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-06-26 with Business & Economics categories.

Foreign holdings of emerging markets (EMs) government bonds have increased substantially over the last decade. While foreign participation in local-currency sovereign bond markets provides an additional source of financing and reduces sovereign yields, it raises concerns about increased sensitivity of yields to shifts in market sentiment. The analysis in this paper suggests that foreign participation and an undiversified investor base transmit global financial shocks to local-currency sovereign bond markets by increasing yield volatility and, beyond a certain threshold, amplify these spillovers. These estimates are robust to a range of econometric techniques including panel smooth threshold regression.

Drivers Of Emerging Market Bond Flows And Prices

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Author : Mr. Evan Papageorgiou
language : en
Publisher: International Monetary Fund
Release Date : 2021-12-16

Drivers Of Emerging Market Bond Flows And Prices written by Mr. Evan Papageorgiou and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-12-16 with Business & Economics categories.

An interesting disconnect has taken shape between local currency- and hard currency-denominated bonds in emerging markets with respect to their portfolio flows and prices since the start of the recovery from the COVID-19 pandemic. Emerging market assets have recovered sharply from the COVID-19 sell-off in 2020, but the post-pandemic recovery in 2021 has been highly uneven. This note seeks to answer why. Yields of local currency-denominated bonds have risen faster and are approaching their pandemic highs, while hard currency bond yields are still near their post-pandemic lows. Portfolio flows to local currency debt have similarly lagged flows to hard currency bonds. This disconnect is closely linked to the external environment and fiscal and inflationary pressures. Its evolution remains a key consideration for policymakers and investors, since local markets are the main source of funding for emerging markets. This note draws from the methodology developed in earlier Global Financial Stability Reports on fundamentals-based asset valuation models for funding costs and forecasting models for capital flows (using the at-risk framework). The results are consistent across models, indicating that local currency assets are significantly more sensitive to domestic fundamentals while hard currency assets are dependent on the external risk sentiment to a greater extent. This suggests that the post-pandemic, stressed domestic fundamentals have weighed on local currency bonds, partially offsetting the boost from supportive global risk sentiment. The analysis also highlights the risks emerging markets face from an asynchronous recovery and weak domestic fundamentals.

Real Money Investors And Sovereign Bond Yields

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Author : Laura Jaramillo
language : en
Publisher: International Monetary Fund
Release Date : 2013-12-19

Real Money Investors And Sovereign Bond Yields written by Laura Jaramillo and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-19 with Business & Economics categories.

Experience from the global financial crisis suggests that countries’ borrowing costs are not solely determined by macro and fiscal fundamentals. Factors such as ownership structures of government securities, among others, also play a significant role. This paper investigates the effect of “real money investors”—domestic nonbanks and national and foreign central banks—on bond yields for a sample of 45 advanced and emerging market economies. The results show that, while bond yields rise with the debt to GDP ratio, this increase is partly offset if this debt falls in the hands of real money investors. Nonetheless, for some countries there is the risk that such ownership structure could change over the long run, which would impose upward pressure on borrowing costs, especially where fiscal positions are weak.