Global Financial Spillovers to Emerging Market Sovereign Bond Markets /

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...

Täydet tiedot

Bibliografiset tiedot
Päätekijä: Ebeke, Christian
Muut tekijät: Kyobe, Annette
Aineistotyyppi: Aikakauslehti
Kieli:English
Julkaistu: Washington, D.C. : International Monetary Fund, 2015.
Sarja:IMF Working Papers; Working Paper ; No. 2015/141
Linkit:Full text available on IMF
Kuvaus
Yhteenveto: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.
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Ulkoasu:1 online resource (22 pages)
Aineistotyyppi:Mode of access: Internet
ISSN:1018-5941
Pääsy:Electronic access restricted to authorized BRAC University faculty, staff and students