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|z 9781475558784
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|a 1018-5941
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|c BD-DhAAL
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|a Arslanalp, Serkan.
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|a Foreign Investor Flows and Sovereign Bond Yields in Advanced Economies /
|c Serkan Arslanalp, Tigran Poghosyan.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2014.
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|a 1 online resource (33 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a Asset allocation decisions of international investors are at the core of capital flows. This paper explores the impact of these decisions on long-term government bond yields, using a quarterly investor base dataset for 22 advanced economies over 2004-2012. We find that a one percentage point increase in the share of government debt held by foreign investors can explain a 6-10 basis point reduction in long-term sovereign bond yields over the sample period. Accordingly, international flows to core advanced economy bond markets over 2008-12 are estimated to have reduced 10-year government bond yields by 40-65 basis points in Germany, 20-30 basis points in the U.K., and 35-60 basis points in the U.S. In contrast, foreign outflows are estimated to have raised 10-year government bond yields by 40-70 basis points in Italy and 110-180 basis points in Spain during the same period. Our results suggest that the divergence in long-term bond yields between core and periphery economies in the euro area may continue unless the 'normalization' of macroeconomic determinants of bond yields is accompanied by a similar 'normalization' of the foreign investor base.
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|a Mode of access: Internet
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|a Poghosyan, Tigran.
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|a IMF Working Papers; Working Paper ;
|v No. 2014/027
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2014/027/001.2014.issue-027-en.xml
|z IMF e-Library
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