On International Integration Of Emerging Sovereign Bond Markets

Author : Mr.Itai Agur,Melissa Chan,Mr.Mangal Goswami,Mr.Sunil Sharma
Publisher : International Monetary Fund
Page : 56 pages
File Size : 48,9 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.

Author : ITAI; CHAN AGUR (MELISSA; GOSWAMI, MANGAL; SHARMA.)
Publisher : Unknown
Page : 128 pages
File Size : 51,5 Mb
Release : 2024-06-28
Category : Electronic
ISBN : 1484339282

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ON INTERNATIONAL INTEGRATION OF EMERGING SOVEREIGN BOND MARKETS. by ITAI; CHAN AGUR (MELISSA; GOSWAMI, MANGAL; SHARMA.) Pdf

Author : Mr. Christian Ebeke,Annette Kyobe
Publisher : International Monetary Fund
Page : 22 pages
File Size : 55,6 Mb
Release : 2015-06-26
Category : Business & Economics
ISBN : 9781513599212

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Global Financial Spillovers to Emerging Market Sovereign Bond Markets by Mr. Christian Ebeke,Annette Kyobe Pdf

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.

Author : Laura Jaramillo,Anke Weber
Publisher : International Monetary Fund
Page : 25 pages
File Size : 52,7 Mb
Release : 2012-08-01
Category : Business & Economics
ISBN : 9781475505481

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Bond Yields in Emerging Economies by Laura Jaramillo,Anke Weber Pdf

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.

Author : Mr.Shanaka J. Peiris
Publisher : International Monetary Fund
Page : 21 pages
File Size : 40,7 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.

Author : Paolo Mauro,Nathan Sussman,Yishay Yafeh
Publisher : Oxford University Press, USA
Page : 216 pages
File Size : 47,8 Mb
Release : 2006-03-16
Category : Business & Economics
ISBN : STANFORD:36105114429553

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Emerging Markets and Financial Globalization by Paolo Mauro,Nathan Sussman,Yishay Yafeh Pdf

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.

Author : Alexander Schulz,Guntram B. Wolff
Publisher : Unknown
Page : 54 pages
File Size : 41,5 Mb
Release : 2008
Category : Bond market
ISBN : IND:30000123481677

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Sovereign Bond Market Integration by Alexander Schulz,Guntram B. Wolff Pdf

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.

Author : Anonim
Publisher : World Bank Publications
Page : 452 pages
File Size : 49,9 Mb
Release : 2001-09-21
Category : Business & Economics
ISBN : 0821349554

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Developing Government Bond Markets: A Handbook by Anonim Pdf

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.

Author : Mr.Jochen R. Andritzky,Julian Schumacher
Publisher : International Monetary Fund
Page : 31 pages
File Size : 42,5 Mb
Release : 2019-07-01
Category : Business & Economics
ISBN : 9781498317375

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Long-Term Returns in Distressed Sovereign Bond Markets: How Did Investors Fare? by Mr.Jochen R. Andritzky,Julian Schumacher Pdf

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

Author : Delong Li,Mr. Nicolas E Magud,Alejandro M. Werner,Samantha Witte
Publisher : International Monetary Fund
Page : 51 pages
File Size : 44,5 Mb
Release : 2021-06-04
Category : Business & Economics
ISBN : 9781513573410

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The Long-Run Impact of Sovereign Yields on Corporate Yields in Emerging Markets by Delong Li,Mr. Nicolas E Magud,Alejandro M. Werner,Samantha Witte Pdf

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.

Author : Tamara Teplova,Tatiana V. Sokolova,Qaiser Munir
Publisher : Routledge
Page : 351 pages
File Size : 45,6 Mb
Release : 2020-10-25
Category : Business & Economics
ISBN : 9781000201789

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Emerging Bond Markets by Tamara Teplova,Tatiana V. Sokolova,Qaiser Munir Pdf

The bond market is a key securities market and emerging economies present exciting, new investment opportunities. This timely book provides insights into these emerging bond markets through empirical models and analytical databases, i.e. Bloomberg, Eikon Refinitiv and the Russian Cbonds. The book looks at the dynamics of the development of emerging bond markets, their competitiveness, features and patterns using macro and micro level data. It also takes into consideration various securities type i.e. government, corporate, sub-federal and municipal bonds, to identify respective challenges and risks. The book also analyses factors that may inhibit or stimulate a well-balanced financial market. It includes case studies of Asian, Latin American and Russian bond markets, as also as cross-country comparisons. It will be a useful reference for anyone who is interested to learn more of the bond market and the modelling techniques for critical data analysis.

Author : David Gowland
Publisher : Unknown
Page : 216 pages
File Size : 51,7 Mb
Release : 1990
Category : Business & Economics
ISBN : IND:30000009143326

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International Bond Markets by David Gowland Pdf

Monograph comprising contributions by various authors on government borrowings, debt management and bond markets described in various countries. Covered subjects include: "Debt management in the U.S.A." by B. Craven; "The Japanese bond market" by M. Okuda and S. James; "The bond market in Australia" by K. Davis and M. Lewis; and "The bond market and the changing financial structure of Italy" by G. Mauro.

Author : Laura Jaramillo,Ms.Yuanyan Sophia Zhang
Publisher : International Monetary Fund
Page : 24 pages
File Size : 48,9 Mb
Release : 2013-12-19
Category : Business & Economics
ISBN : 9781475541540

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Real Money Investors and Sovereign Bond Yields by Laura Jaramillo,Ms.Yuanyan Sophia Zhang Pdf

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.

Author : Mr.Balazs Csonto,Mr.Iryna V. Ivaschenko
Publisher : International Monetary Fund
Page : 42 pages
File Size : 47,8 Mb
Release : 2013-07-10
Category : Business & Economics
ISBN : 9781484361481

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Determinants of Sovereign Bond Spreads in Emerging Markets by Mr.Balazs Csonto,Mr.Iryna V. Ivaschenko Pdf

We analyze the relationship between global and country-specific factors and emerging market debt spreads from three different angles. First, we aim to disentangle the effect of global and country-specific developments, and find that while both country-specific and global developments are important in the long-run, global factors are main determinants of spreads in the short-run. Second, we investigate whether and how the strength of fundamentals is related to the sensitivity of spreads to global factors. Countries with stronger fundamentals tend to have lower sensitivity to changes in global risk aversion. Third, we decompose changes in spreads and analyze the behavior of explained and unexplained components over different periods. To do so, we break down fitted changes in spreads into the contribution of country-specific and global factors, as well as decompose changes in the residual into the correction of initial misalignment and an increase/decrease in misalignment. We find that changes in spreads follow periods of tightening/widening, which are well-explained by the model; and the dynamics of the components of the unexplained residual follow all the major developments that impact market sentiment. In particular, we find that in the periods of severe marketstress, such as during the intensive phase of the Eurozone debt crisis, global factors tend to drive changes in the spreads and the misalignment tends to increase in magnitude and its relative share in actual spreads.

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.