Global Spillovers into Domestic Bond Markets in Emerging Market Economies

Author/Editor:

Laura Jaramillo ; Miss Anke Weber

Publication Date:

December 23, 2013

Electronic Access:

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary:

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.

Series:

Working Paper No. 13/264

Subject:

Bond markets Brazil Bulgaria Chile Colombia Estonia Hungary India International financial markets Latvia Lithuania Malaysia Mexico Pakistan Peru Philippines Poland Public debt Romania Russian Federation South Africa Sri Lanka Thailand Turkey Ukraine Vietnam

English

Publication Date:

December 23, 2013

ISBN/ISSN:

9781484328446/1018-5941

Stock No:

WPIEA2013264

Format:

Paper

Pages:

21

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