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

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Emerging Market Local Currency Bond Yields and Foreign Holdings in the Post-Lehman Period - a Fortune or Misfortune?

Mr.Christian Ebeke,Yinqiu Lu
Emerging Market Local Currency Bond Yields and Foreign Holdings in the Post Lehman Period a Fortune or Misfortune Book PDF

Author : Mr.Christian Ebeke,Yinqiu Lu
Publisher : International Monetary Fund
Page : 38 pages
File Size : 55,9 Mb
Release : 2014-02-12
Category : Business & Economics
ISBN : 9781475559286

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Emerging Market Local Currency Bond Yields and Foreign Holdings in the Post-Lehman Period - a Fortune or Misfortune? by Mr.Christian Ebeke,Yinqiu Lu Pdf

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.

Foreign Participation in Emerging Markets’ Local Currency Bond Markets

Mr.Shanaka J. Peiris
Foreign Participation in Emerging Markets Local Currency Bond Markets Book PDF

Author : Mr.Shanaka J. Peiris
Publisher : International Monetary Fund
Page : 21 pages
File Size : 43,6 Mb
Release : 2010-04-01
Category : Business & Economics
ISBN : 9781451982602

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Foreign Participation in Emerging Markets’ Local Currency Bond Markets by Mr.Shanaka J. Peiris Pdf

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.

Spillovers from U.S. Monetary Policy Normalization on Brazil and Mexico’s Sovereign Bond Yields

Carlos Góes,Herman Kamil,Phil De Imus,Ms.Mercedes Garcia-Escribano,Mr.Roberto Perrelli,Mr.Shaun K. Roache,Jeremy Zook
Spillovers from U S Monetary Policy Normalization on Brazil and Mexico s Sovereign Bond Yields Book PDF

Author : Carlos Góes,Herman Kamil,Phil De Imus,Ms.Mercedes Garcia-Escribano,Mr.Roberto Perrelli,Mr.Shaun K. Roache,Jeremy Zook
Publisher : International Monetary Fund
Page : 39 pages
File Size : 44,9 Mb
Release : 2017-03-10
Category : Business & Economics
ISBN : 9781475586077

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Spillovers from U.S. Monetary Policy Normalization on Brazil and Mexico’s Sovereign Bond Yields by Carlos Góes,Herman Kamil,Phil De Imus,Ms.Mercedes Garcia-Escribano,Mr.Roberto Perrelli,Mr.Shaun K. Roache,Jeremy Zook Pdf

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.

Government Financial Assets and Debt Sustainability

Ms.Camila Henao Arbelaez,Nelson Sobrinho
Government Financial Assets and Debt Sustainability Book PDF

Author : Ms.Camila Henao Arbelaez,Nelson Sobrinho
Publisher : International Monetary Fund
Page : 41 pages
File Size : 55,8 Mb
Release : 2017-07-25
Category : Business & Economics
ISBN : 9781484311059

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Government Financial Assets and Debt Sustainability by Ms.Camila Henao Arbelaez,Nelson Sobrinho Pdf

Do government financial assets help improve public debt sustainability? To answer this question, we assemble a comprehensive dataset on government assets using multiple sources and covering 110 advanced and emerging market economies since the late 1980s. We then use this rich database to estimate the impact of assets on two key dimensions of debt sustainability: borrowing costs and the probability of debt distress. Government financial assets significantly reduce sovereign spreads and the probability of debt crises in emerging economies but not in advanced economies, and the effect varies with asset characteristics, notably liquidity. Government finacial assets also help discriminate countries across the distribution of sovereign spreads, thus signaling information about emerging economies’ creditworthiness.

Chile

International Monetary Fund. Western Hemisphere Dept.
Chile Book PDF

Author : International Monetary Fund. Western Hemisphere Dept.
Publisher : International Monetary Fund
Page : 61 pages
File Size : 48,9 Mb
Release : 2014-07-22
Category : Business & Economics
ISBN : 9781498345101

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Chile by International Monetary Fund. Western Hemisphere Dept. Pdf

This Selected Issues paper on Chile seeks to explain why foreign ownership of locally issued sovereign bonds is so low in Chile and its implications. The low foreign ownership seems to be the result of a combination of macroeconomic, regulatory, and technical factors. The Financial Stability Report discusses the issue, and points to the tax on capital gains, costs for custody of securities and other administrative costs, and the relatively small size of the sovereign bond market as the reasons. Our study also finds that a combination of factors contributed to the low foreign ownership, including a moderate supply of sovereign bonds shadowed by strong local demand, illiquid secondary market, tax and administrative burden, the dominance of inflation-indexed bonds, and inconvenience and potential risks associated with foreign exchange transactions. The small size of the market for nominal bonds, the lack of a liquid secondary market, the previous tax regime and existing administrative burden, and transaction costs in the foreign exchange market seem to be the main reasons.

Research Bulletin, June 2014

International Monetary Fund. Research Dept.
Research Bulletin June 2014 Book PDF

Author : International Monetary Fund. Research Dept.
Publisher : International Monetary Fund
Page : 14 pages
File Size : 42,5 Mb
Release : 2014-06-09
Category : Business & Economics
ISBN : 9781498320795

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Research Bulletin, June 2014 by International Monetary Fund. Research Dept. Pdf

Articles in the June 2014 issue of the IMF Research Bulletin look at “The Rise and Fall of Current Account Deficits in the Euro Area Periphery and the Baltics” (Joong Shik Kang and Jay C. Shambaugh) and “The Two Sides of the Same Coin?: Rebalancing and Inclusive Growth in China” (Il Houng Lee, Murtaza Syed, and Xin Wang). The Q&A looks at “Seven Questions on the Monetary Transmission Mechanism in Low-Income Countries” (Andrew Berg, Luisa Charry, Rafael A. Portillo, and Jan Vleck). This issue of the Research Bulletin includes updated listings of IMF Working Papers, Staff Discussion Notes, and Recommended Readings from the IMF Bookstore. Readers can also find information on free access to a featured article from “IMF Economic Review.”

Republic of Poland

International Monetary Fund. European Dept.
Republic of Poland Book PDF

Author : International Monetary Fund. European Dept.
Publisher : International Monetary Fund
Page : 102 pages
File Size : 46,8 Mb
Release : 2014-06-26
Category : Business & Economics
ISBN : 9781498367868

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Republic of Poland by International Monetary Fund. European Dept. Pdf

This Selected Issues paper considers the case of Poland to analyze global financial spillovers to emerging market (EM) sovereign bond markets. Foreign holdings of Polish government bonds have increased substantially over the last decade. Although foreign participation in local-currency sovereign bond markets provides an additional source of financing and reduces sovereign yields, it has also given rise to concerns about increased sensitivity to shifts in market sentiment. The analysis in this paper suggests that foreign participation plays an important role in transmitting global financial shocks to local-currency sovereign bond markets by increasing yield volatility and, beyond a certain threshold, amplifying these spillovers.

Is Banks’ Home Bias Good or Bad for Public Debt Sustainability?

Mr.Tamon Asonuma,Mr.Said Bakhache,Mr.Heiko Hesse
Is Banks Home Bias Good or Bad for Public Debt Sustainability Book PDF

Author : Mr.Tamon Asonuma,Mr.Said Bakhache,Mr.Heiko Hesse
Publisher : International Monetary Fund
Page : 37 pages
File Size : 41,5 Mb
Release : 2015-02-27
Category : Business & Economics
ISBN : 9781498323505

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Is Banks’ Home Bias Good or Bad for Public Debt Sustainability? by Mr.Tamon Asonuma,Mr.Said Bakhache,Mr.Heiko Hesse Pdf

Motivated by the recent increase in domestic banks’ holdings of domestic sovereign debt (i.e., home bias) in the European periphery, this paper analyzes implications of banks’ home bias for the sovereign’s debt sustainability. The main findings, based on a sample of advanced (AM) and emerging market (EM) economies, suggest that home bias generally reduces the cost of borrowing for AMs and EMs when debt levels are moderate to high. A worsening of market sentiments appears to dimish the favorable impact of home bias on cost of borrowing particularly for EMs. In addition, for AMs and EMs, higher home bias is associated with higher debt levels, and less responsive fiscal policy. The findings suggest that home bias indeed matters for debt sustainability: Home bias may provide fiscal breathing space, but delays in fiscal consolidation may actually delay problems until debt reaches dangerously high levels.

Uruguay

International Monetary Fund. Western Hemisphere Dept.
Uruguay Book PDF

Author : International Monetary Fund. Western Hemisphere Dept.
Publisher : International Monetary Fund
Page : 30 pages
File Size : 48,8 Mb
Release : 2015-03-26
Category : Business & Economics
ISBN : 9781484304310

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Uruguay by International Monetary Fund. Western Hemisphere Dept. Pdf

This Selected Issues paper reviews Uruguay’s experience with inclusive growth over the last two decades, and identifies challenges and policy options to promote greater equality going forward. Uruguay has a long history of high living standards comparable to many developed countries, and has made further progress in improving social conditions since 2005 on the back of strong economic growth and active social policies. Looking ahead, preserving macroeconomic stability is essential to sustain these gains. For the longer term, improving access to quality education will be the key to enhance social mobility.

Inequality, Growth and ‘Hot’ Money

Pablo G. Bortz
Inequality Growth and Hot Money Book PDF

Author : Pablo G. Bortz
Publisher : Edward Elgar Publishing
Page : 224 pages
File Size : 49,9 Mb
Release : 2016-04-29
Category : Business & Economics
ISBN : 9781784715014

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Inequality, Growth and ‘Hot’ Money by Pablo G. Bortz Pdf

The growing levels of income inequality, an explosion of global financial flows, and a worldwide decline of economic growth have combined to challenge accepted economic wisdom. Utilizing a heterodox approach, Pablo G. Bortz provides a fresh look for understanding the interaction between these three factors while identifying challenges and possible alternatives for an expansionary and progressive economic policy. Reviewing several schools of thought, Inequality, Growth and ‘Hot’ Money explores the risks generated by capital flows and the limitations they impose on progressive economic policies. Professor Bortz then provides instruments and alternatives to pursue an expansionary and equalitarian program, including theoretical contributions to enrich heterodox and progressive economics. Standout features of this book include a review of the challenges that financial flows pose for developing countries; a redefinition of the role of capital controls; a policy approach that separates interest rate policies from a broader credit policy; and a rejection of the negative relationship between a more egalitarian income distribution and sustained economic expansion. Expanding the Kaleckian approach to include financial flows, this accessible introduction to heterodox growth models will be appreciated by graduate students and committed heterodox economists. Research departments at official institutions such as central banks may also be interested, specifically in the book’s models and policy prescription.

Playing with Fire

Yılmaz Akyüz
Playing with Fire Book PDF

Author : Yılmaz Akyüz
Publisher : Oxford University Press
Page : 279 pages
File Size : 43,5 Mb
Release : 2017
Category : Business & Economics
ISBN : 9780198797173

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Playing with Fire by Yılmaz Akyüz Pdf

Many emerging and developing economies (EDEs) have liberalised their capital accounts, allowing greater freedom for international lenders and investors to enter their markets. This volume provides an empirical account of deeper integration of EDEs into the global financial system and discusses its implications for stability and growth.

On International Integration of Emerging Sovereign Bond Markets

Mr.Itai Agur,Melissa Chan,Mr.Mangal Goswami,Mr.Sunil Sharma
On International Integration of Emerging Sovereign Bond Markets Book PDF

Author : Mr.Itai Agur,Melissa Chan,Mr.Mangal Goswami,Mr.Sunil Sharma
Publisher : International Monetary Fund
Page : 56 pages
File Size : 51,8 Mb
Release : 2018-01-25
Category : Business & Economics
ISBN : 9781484339220

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On International Integration of Emerging Sovereign Bond Markets by Mr.Itai Agur,Melissa Chan,Mr.Mangal Goswami,Mr.Sunil Sharma Pdf

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.

Drivers of Emerging Market Bond Flows and Prices

Mr. Evan Papageorgiou,Rohit Goel
Drivers of Emerging Market Bond Flows and Prices Book PDF

Author : Mr. Evan Papageorgiou,Rohit Goel
Publisher : International Monetary Fund
Page : 14 pages
File Size : 54,8 Mb
Release : 2021-12-16
Category : Business & Economics
ISBN : 9781616357597

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Drivers of Emerging Market Bond Flows and Prices by Mr. Evan Papageorgiou,Rohit Goel Pdf

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.

Exploring the Role of Foreign Investors in Russia's Local Currency Government Bond (OFZ) Market

Yinqiu Lu,Dmitry Yakovlev
Exploring the Role of Foreign Investors in Russia s Local Currency Government Bond OFZ Market Book PDF

Author : Yinqiu Lu,Dmitry Yakovlev
Publisher : International Monetary Fund
Page : 37 pages
File Size : 46,9 Mb
Release : 2017-02-10
Category : Business & Economics
ISBN : 9781475577587

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Exploring the Role of Foreign Investors in Russia's Local Currency Government Bond (OFZ) Market by Yinqiu Lu,Dmitry Yakovlev Pdf

Local currency government bonds (OFZ bonds) are an important fixed-income instrument in Russia’s financial markets. In this paper, based on granular data, we explore the development of the OFZ bond market with a focus on foreign investors. As this fixed-income market has experienced a liberalization of the domestic trading and settlement infrastructure, and weathered several episodes of market stresses since the 2008–09 global financial crisis, the role of foreign investors can be observed along with these events. What we have found is that foreign investors had influenced the market before they became an important player and since then they have contributed to the development of the market while not necessarily destabilizing it in episodes of shocks.

German Bond Yields and Debt Supply: Is There a “Bund Premium”?

Anne-Charlotte Paret,Anke Weber
German Bond Yields and Debt Supply Is There a Bund Premium Book PDF

Author : Anne-Charlotte Paret,Anke Weber
Publisher : International Monetary Fund
Page : 34 pages
File Size : 54,7 Mb
Release : 2019-11-01
Category : Business & Economics
ISBN : 9781513518329

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German Bond Yields and Debt Supply: Is There a “Bund Premium”? by Anne-Charlotte Paret,Anke Weber Pdf

Are Bunds special? This paper estimates the “Bund premium” as the difference in convenience yields between other sovereign safe assets and German government bonds adjusted for sovereign credit risk, liquidity and swap market frictions. A higher premium suggests less substitutability of sovereign bonds. We document a rise in the “Bund premium” in the post-crisis period. We show that there is a negative relationship of the premium with the relative supply of German sovereign bonds, which is more pronounced for higher maturities and when risk aversion proxied by bond market volatility is high. Going forward, we expect German government debt supply to remain scarce, with important implications for the ECB’s monetary policy strategy.