Global Financial Spillovers to Emerging Market Sovereign Bond Markets
Autor: | Annette J Kyobe, Christian Hubert Ebeke |
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Rok vydání: | 2015 |
Předmět: |
Finance
business.industry Bond media_common.quotation_subject Yield (finance) Foreign direct investment Bond yields Bond markets Financial crises External shocks Emerging markets Spillovers International financial markets Interest rates Foreign investment Financial shocks EM bond markets Non-linearity markets currency bond holdings Interest rate Currency Economics General Earth and Planetary Sciences Bond market Market sentiment business General Environmental Science media_common |
Zdroj: | SSRN Electronic Journal. |
ISSN: | 1556-5068 |
Popis: | 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. |
Databáze: | OpenAIRE |
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