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

Author: Laura Jaramillo; Anke Weber
Publisher: [Washington, D.C.] : International Monetary Fund, 2012.
Series: IMF working paper (Online), WP/12/198.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Database:WorldCat
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,  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Jaramillo, Laura.
Bond Yields in Emerging Economies: It Matters What State You Are In.
Washington : International Monetary Fund, ©2012
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Laura Jaramillo; Anke Weber
ISBN: 1475531362 9781475531367 1475507755 9781475507751
OCLC Number: 903167056
Description: 1 online resource.
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.
Series Title: IMF working paper (Online), WP/12/198.

Abstract:

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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