Download or read book Global Spillovers into Domestic Bond Markets in Emerging Market Economies written by Laura Jaramillo and published by International Monetary Fund. This book was released on 2013-12-23 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: While fiscal conditions remain healthier than in advanced economies, emerging economies continue to be exposed to negative spillovers if global conditions were to become less favorable. This paper finds that domestic bond yields in emerging economies are heavily influenced by two international factors: global risk appetite and global liquidity. Using a novel approach, the analysis goes on to show that the vulnerability of emerging economies to these factors is not uniform but rather depends on country specific characteristics, namely fiscal fundamentals, financial sector openness and the external current account balance.

Download or read book Global Financial Spillovers to Emerging Market Sovereign Bond Markets written by Mr.Christian Ebeke and published by International Monetary Fund. This book was released on 2015-06-26 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Channels of US Monetary Policy Spillovers Into International Bond Markets written by Elías Albagli and published by . This book was released on 2015 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Bond Yields in Emerging Economies written by Laura Jaramillo and published by International Monetary Fund. This book was released on 2012-08-01 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Foreign Participation in Emerging Markets Local Currency Bond Markets written by Mr.Shanaka J. Peiris and published by International Monetary Fund. This book was released on 2010-04-01 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book On International Integration of Emerging Sovereign Bond Markets written by Mr.Itai Agur and published by International Monetary Fund. This book was released on 2018-01-25 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Multi Sector Bond Funds in Emerging Markets Easy Come Easy Go written by Fabio Cortes and published by International Monetary Fund. This book was released on 2021-12-16 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: Unconstrained multi-sector bond funds (MSBFs) can be a source of spillovers to emerging markets and potentially exert a sizable impact on cross-border flows. MSBFs have grown their investment in emerging markets in recent years and are highly concentrated—both in their positions and their decision-making. They typically also exhibit opportunistic behavior much more so than other investment funds. Theoretically, their size, multisector mandate, and unconstrained nature allows MSBFs to be a source of financial stability in periods of wide-spread market turmoil while others sell at fire-sale prices. However, this note, building on the analysis of Cortes and Sanfilippo (2020) and incorporating data around the COVID-19 crisis, finds that MSBFs could have contributed to increase market stress in selected emerging markets. When faced with large investor redemptions during the crisis, our sample of MSBFs chose to rebalance their portfolios in a concentrated manner, raising a large proportion of cash in a few specific local currency bond markets. This may have contributed to exacerbating the relative underperformance of these local currency bond markets to broader emerging market indices.

Download or read book International Sovereign Bonds by Emerging Markets and Developing Economies written by Andrea Presbitero and published by International Monetary Fund. This book was released on 2015-12-24 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: What determines the ability of low-income developing countries to issue bonds in international capital and what explains the spreads on these bonds? This paper examines these questions using a dataset that includes emerging markets and developing economies (EMDEs) that issued sovereign bonds at least once during the period 1995-2013 as well as those that did not. We find that an EMDE is more likely to issue a bond when, in comparison with non-issuing peers, it is larger in economic size, has higher per capita GDP, and has stronger macroeconomic fundamentals and government. Spreads on sovereign bonds are lower for countries with strong external and fiscal positions, as well as robust economic growth and government effectiveness. With regard to global factors, the results show that sovereign bond spreads are reduced in periods of lower market volatility.

Download or read book Emerging Markets and the Global Economy written by Mohammed El Hedi Arouri and published by Academic Press. This book was released on 2013-12-26 with total page 927 pages. Available in PDF, EPUB and Kindle. Book excerpt: Emerging Markets and the Global Economy investigates analytical techniques suited to emerging market economies, which are typically prone to policy shocks. Despite the large body of emerging market finance literature, their underlying dynamics and interactions with other economies remain challenging and mysterious because standard financial models measure them imprecisely. Describing the linkages between emerging and developed markets, this collection systematically explores several crucial issues in asset valuation and risk management. Contributors present new theoretical constructions and empirical methods for handling cross-country volatility and sudden regime shifts. Usually attractive for investors because of the superior growth they can deliver, emerging markets can have a low correlation with developed markets. This collection advances your knowledge about their inherent characteristics. Foreword by Ali M. Kutan Concentrates on post-crisis roles of emerging markets in the global economy Reports on key theoretical and technical developments in emerging financial markets Forecasts future developments in linkages among developed and emerging economies

Download or read book Building Local Bond Markets written by Alison Harwood and published by World Bank Publications. This book was released on 2000-01-01 with total page 538 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the Asia and Tequila crises of the late 1990s, a growing number of emerging market countries have focused on developing local bond markets to lock in local currency, fixed-rate and long-term funding, and help governments and corporations better manage their financing risks. International organizations from Washington to Southeast Asia are pushing bond market development, to reduce global instability by improving domestic risk management. This book is part of the International Finance Corporation's efforts to assist countries in South Asia and other parts of the world to identify their need for local bond markets, the impediments to developing them, and how those impediments might be removed. The book is based on papers presented at the South Asian Debt Market Symposium held in Sri Lanka in October 1999. It provides valuable insights to emerging market nations wrestling with the issue of building local bond markets. This book will be of interest to bond market specialists, policymakers, and the private sector.

Download or read book Global Spillovers into Domestic Bond Markets in Emerging Market Economies written by Laura Jaramillo and published by International Monetary Fund. This book was released on 2013-12-23 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: While fiscal conditions remain healthier than in advanced economies, emerging economies continue to be exposed to negative spillovers if global conditions were to become less favorable. This paper finds that domestic bond yields in emerging economies are heavily influenced by two international factors: global risk appetite and global liquidity. Using a novel approach, the analysis goes on to show that the vulnerability of emerging economies to these factors is not uniform but rather depends on country specific characteristics, namely fiscal fundamentals, financial sector openness and the external current account balance.

Download or read book China s Bond Market and Global Financial Markets written by Mr.Eugenio M Cerutti and published by International Monetary Fund. This book was released on 2018-12-07 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: A cross-country comparative analysis shows that there is substantial room for further integration of China into global financial markets, especially in the case of the international bond market. A further successful liberalization of the Chinese bond market would encompass not only loosening bond market regulations, but also further developing of other markets, notably the foreign exchange market. Even though the increased integration of China into international capital markets would increase its exposure to the global financial cycle, the costs in terms of monetary autonomy would not be large given China’s size and especially under a well-articulated macroeconomic framework.

Download or read book Determinants of Sovereign Bond Spreads in Emerging Markets written by Mr.Balazs Csonto and published by International Monetary Fund. This book was released on 2013-07-10 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Correlations in Emerging Market Bonds written by Mr.A. Javier Hamann and published by International Monetary Fund. This book was released on 2010-01-01 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the comovement in emerging market bond returns and disentangles the influence of external and domestic factors. The conceptual framework, set in the context of asset allocation, allows us to describe the channels through which shocks originating in a particular emerging or mature market are transmitted across countries and markets. We show that using a simple measure of cross-country correlations together with the commonly used average correlation coefficient can be more informative during episodes of heightened market instability. Data for the period 1997-2008 are analyzed for evidence of true contagion and common external shocks.

Download or read book Developing Government Bond Markets A Handbook written by and published by World Bank Publications. This book was released on 2001-09-21 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Drivers of Emerging Market Bond Flows and Prices written by Mr. Evan Papageorgiou and published by International Monetary Fund. This book was released on 2021-12-16 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Central Bank Exit Strategies Domestic Transmission and International Spillovers written by Christopher J. Erceg and published by International Monetary Fund. This book was released on 2024-03-29 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study alternative approaches to the withdrawal of prolonged unconventional monetary stimulus (“exit strategies”) by central banks in large, advanced economies. We first show empirically that large-scale asset purchases affect the exchange rate and domestic and foreign term premiums more strongly than conventional short-term policy rate changes when normalizing by the effects on domestic GDP. We then build a two-country New Keynesian model that features segmented bond markets, cognitive discounting and strategic complementarities in price setting that is consistent with these findings. The model implies that quantitative easing (QE) is the only effective way to provide monetary stimulus when policy rates are persistently constrained by the effective lower bound, and that QE is likely to have larger domestic output effects than quantitative tightening (QT). We demonstrate that “exit strategies” by large advanced economies that rely heavily on QT can trigger sizeable inflation-output tradeoffs in foreign recipient economies through the exchange rate and term premium channels. We also show that these tradeoffs are likely to be stronger in emerging market economies, especially those with fixed exchange rates.