The Long Run Impact Of Sovereign Yields On Corporate Yields In Emerging Markets
DOWNLOAD
Download The Long Run Impact Of Sovereign Yields On Corporate Yields In Emerging Markets PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get The Long Run Impact Of Sovereign Yields On Corporate Yields In Emerging Markets book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
The Long Run Impact Of Sovereign Yields On Corporate Yields In Emerging Markets
DOWNLOAD
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.
Foreign Participation In Emerging Markets Local Currency Bond Markets
DOWNLOAD
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.
Determinants Of Emerging Market Sovereign Bond Spreads
DOWNLOAD
Author : Iva Petrova
language : en
Publisher: International Monetary Fund
Release Date : 2010-12-01
Determinants Of Emerging Market Sovereign Bond Spreads written by Iva Petrova 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 2010-12-01 with Business & Economics categories.
This paper analyses the determimants of emerging market sovereign bond spreads by examining the short and long-run effects of fundamental (macroeconomic) and temporary (financial market) factors on these spreads. During the current global financial and economic crisis, sovereign bond spreads widened dramatically for both developed and emerging market economies. This deterioration has widely been attributed to rapidly growing public debts and balance sheet risks. Our results indicate that in the long run, fundamentals are significant determinants of emerging market sovereign bond spreads, while in the short run, financial volatility is a more important determinant of sperads than fundamentals indicators.
Bond Yields In Emerging Economies
DOWNLOAD
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 Market Local Currency Bond Yields And Foreign Holdings In The Post Lehman Period A Fortune Or Misfortune
DOWNLOAD
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.
Spillovers From U S Monetary Policy Normalization On Brazil And Mexico S Sovereign Bond Yields
DOWNLOAD
Author : Carlos Góes
language : en
Publisher: International Monetary Fund
Release Date : 2017-03-10
Spillovers From U S Monetary Policy Normalization On Brazil And Mexico S Sovereign Bond Yields written by Carlos Góes 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 2017-03-10 with Business & Economics categories.
This paper examines the transmission of changes in the U.S. monetary policy to localcurrency sovereign bond yields of Brazil and Mexico. Using vector error-correction models, we find that the U.S. 10-year bond yield was a key driver of long-term yields in these countries, and that Brazilian yields were more sensitive to U.S. shocks than Mexican yields during 2010–13. Remarkably, the propagation of shocks from U.S. long-term yields was amplified by changes in the policy rate in Brazil, but not in Mexico. Our counterfactual analysis suggests that yields in both countries temporarily overshot the values predicted by the model in the aftermath of the Fed’s “tapering” announcement in May 2013. This study suggests that emerging markets will need to contend with potential spillovers from shifts in monetary policy expectations in the U.S., which often lead to higher government bond interest rates and bouts of volatility.
Real Money Investors And Sovereign Bond Yields
DOWNLOAD
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.
Policy Responses To Capital Flows In Emerging Markets
DOWNLOAD
Author : Mahmood Pradhan
language : en
Publisher: International Monetary Fund
Release Date : 2011-04-20
Policy Responses To Capital Flows In Emerging Markets written by Mahmood Pradhan 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 2011-04-20 with Business & Economics categories.
Staff Discussion Notes showcase the latest policy-related analysis and research being developed by individual IMF staff and are published to elicit comment and to further debate. These papers are generally brief and written in nontechnical language, and so are aimed at a broad audience interested in economic policy issues. This Web-only series replaced Staff Position Notes in January 2011.
Long Run And Short Run Determinants Of Sovereign Bond Yields In Advanced Economies
DOWNLOAD
Author : Mr.Tigran Poghosyan
language : en
Publisher: International Monetary Fund
Release Date : 2012-11-08
Long Run And Short Run Determinants Of Sovereign Bond Yields In Advanced Economies written by Mr.Tigran Poghosyan 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 2012-11-08 with Business & Economics categories.
We analyze determinants of sovereign bond yields in 22 advanced economies over the 1980-2010 period using panel cointegration techniques. The application of cointegration methodology allows distinguishing between long-run (debt-to-GDP ratio, potential growth) and short-run (inflation, short-term interest rates, etc.) determinants of sovereign borrowing costs. We find that in the long-run, government bond yields increase by about 2 basis points in response to a 1 percentage point increase in government debt-to-GDP ratio and by about 45 basis points in response to a 1 percentage point increase in potential growth rate. In the short-run, sovereign bond yields deviate from the level determined by the long-run fundamentals, but about half of the deviation adjusts in one year. When considering the impact of the global financial crisis on sovereign borrowing costs in euro area countries, the estimations suggest that spreads against Germany in some European periphery countries exceeded the level determined by fundamentals in the aftermath of the crisis, while some North European countries have benefited from “safe haven” flows.
Global Financial Spillovers To Emerging Market Sovereign Bond Markets
DOWNLOAD
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.