On International Integration Of Emerging Sovereign Bond Markets
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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.
On International Integration Of Emerging Sovereign Bond Markets
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Author : ITAI; CHAN AGUR (MELISSA; GOSWAMI, MANGAL; SHARMA.)
language : en
Publisher:
Release Date :
On International Integration Of Emerging Sovereign Bond Markets written by ITAI; CHAN AGUR (MELISSA; GOSWAMI, MANGAL; SHARMA.) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.
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.
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.
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.
Emerging Markets And Financial Globalization
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Author : Paolo Mauro
language : en
Publisher: Oxford University Press, USA
Release Date : 2006-03-16
Emerging Markets And Financial Globalization written by Paolo Mauro and has been published by Oxford University Press, USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-03-16 with Business & Economics categories.
The frequency and virulence of recent financial crises have led to calls for reform of the current international financial architecture. In an effort to learn more about today's international financial environment, the authors turn to an earlier era of financial globalization between 1870 and 1913. By examining data on sovereign bonds issued by borrowing developing countries in this earlier period and in the present day, the authors are able to identify the characteristics ofsuccessful borrowers in the two periods. They are then able to show that global crises or contagion are a feature of the 1990s which was hardly known in the previous era of globalization. Finally, the authors draw lessons for today from archival data on mechanisms used by British investors in the 19thcentury to address sovereign defaults. Using new qualitative and quantitative data, the authors skilfully apply a variety of approaches in order to better understand how problems of volatility and debt crises are dealt with in international financial markets.
Sovereign Bond Market Integration
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Author : Alexander Schulz
language : en
Publisher:
Release Date : 2008
Sovereign Bond Market Integration written by Alexander Schulz and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Bond market categories.
Different driving factors of sovereign bond market integration are disentangled by studying yield co-movements of EMU countries, the UK, the US and 16 German Länder in the last 15 years. At a low frequency of weeks, bond market integration has increased gradually in the course of the last 15 years in EMU countries, as well as the UK, the US and the German Länder. The euro, as well as increasing international capital flows, appears to drive low frequency integration. In contrast, yield adjustments to changes of the German benchmark bond at high frequencies, i.e., 2 days, remain relatively low until October 2000, when a sharp increase in integration can be observed in all samples. The increase in high frequency integration can be attributed to electronic trading platforms becoming functional. The change-over from national currencies to the euro can not explain the dramatic increase in high-frequency integration.
Building Local Bond Markets
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Author : Alison Harwood
language : en
Publisher: World Bank Publications
Release Date : 2000-01-01
Building Local Bond Markets written by Alison Harwood and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-01-01 with Business & Economics categories.
Since the Asia and Tequila crises of the late 1990s, a growing number of emerging market countries have focused on developing local bond markets to lock in local currency, fixed-rate and long-term funding, and help governments and corporations better manage their financing risks. International organizations from Washington to Southeast Asia are pushing bond market development, to reduce global instability by improving domestic risk management. This book is part of the International Finance Corporation's efforts to assist countries in South Asia and other parts of the world to identify their need for local bond markets, the impediments to developing them, and how those impediments might be removed. The book is based on papers presented at the South Asian Debt Market Symposium held in Sri Lanka in October 1999. It provides valuable insights to emerging market nations wrestling with the issue of building local bond markets. This book will be of interest to bond market specialists, policymakers, and the private sector.
Developing Government Bond Markets A Handbook
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Author :
language : en
Publisher: World Bank Publications
Release Date : 2001-09-21
Developing Government Bond Markets A Handbook written by and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-09-21 with Business & Economics categories.
This handbook is a comprehensive and authoritative reference for both senior policymakers—those responsible for the development of government bond markets in their own countries—and all individuals responsible for guiding the market development process at the operational level—those who have a substantial need to understand the policy issues involved.
Long Term Returns In Distressed Sovereign Bond Markets How Did Investors Fare
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Author : Mr.Jochen R. Andritzky
language : en
Publisher: International Monetary Fund
Release Date : 2019-07-01
Long Term Returns In Distressed Sovereign Bond Markets How Did Investors Fare written by Mr.Jochen R. Andritzky 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 2019-07-01 with Political Science categories.
Sovereign debt restructurings are perceived as inflicting large losses to bondholders. However, many bonds feature high coupons and often exhibit strong post-crisis recoveries. To account for these aspects, we analyze the long-term returns of sovereign bonds during 32 crises since 1998, taking into account losses from bond exchanges as well as profits before and after such events. We show that the average excess return over risk-free rates in crises with debt restructuring is not significantly lower than the return on bonds in crises without restructuring. Returns differ considerably depending on the investment strategy: Investors who sell during crises fare much worse than buy-and-hold investors or investors entering the market upon signs of distress