Bond yields in emerging economies : it matters what state you are in.

By:

Jaramillo, Laura

Contributor(s):

Weber, Anke

Material type: Text

TextSeries: IMF working paper (Online) ; WP/12/198.Publication details: [Washington, D.C.] : International Monetary Fund, 2012.Description: 1 online resourceContent type:

text

Media type:

computer

Carrier type:

online resource

ISBN:

1475531362
9781475531367
1475507755
9781475507751
1475505485
9781475505481

Subject(s):

Genre/Form:

Additional physical formats: Print version:: Bond Yields in Emerging Economies: It Matters What State You Are In.DDC classification:

332.67/3091724 23

LOC classification:

HG5993

Online resources:

Click here to access online

Contents:

Cover; Abstract; Contents; I. Introduction; II. Background and Literature Review; III. Stylized Facts; Figures; 1. Emerging Economies: Government Debt; 2. Emerging Economies: Domestic Government Debt Securities; 3. Emerging Market Fund Assets; 4. Sovereign Domestic Bond Yields; 5. Sovereign Domestic Bond Yields and Global Factors; 6. Domestic Bond Yields and Fiscal Fundamentals, 2007-2011; IV. Empirical Model Specification; V. Data and Estimation Results; A. Data Sources; B. Estimation Results; Tables; 1. Descriptive Statistics.

2. Determinants of 10-year Domestic Bond Yields in Emerging Economies3. Threshold Model: Determinants of 10-year Domestic Bond Yields in Emerging Economies; VI. Summary and Conclusions; 7. Actual Change in Bond Yields Compared to Out-of-Sample Prediction; Appendix; References.

Summary: 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 t.

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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 t.

Includes bibliographical references.

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