IMF Working Papers

Global Spillovers into Domestic Bond Markets in Emerging Market Economies

By Laura Jaramillo, Anke Weber

December 23, 2013

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Laura Jaramillo, and Anke Weber. Global Spillovers into Domestic Bond Markets in Emerging Market Economies, (USA: International Monetary Fund, 2013) accessed September 18, 2024
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.

Subject: Asset and liability management, Bond yields, Emerging and frontier financial markets, Financial institutions, Financial markets, Financial services, Fiscal policy, Fiscal stance, International liquidity, Short term interest rates

Keywords: Bond market, Bond Markets, Bond yield, Bond yields, Domestic bond yields, Emerging and frontier financial markets, Emerging economy country, Emerging Market Economies, Fiscal Deficit, Fiscal stance, Global, Global Spillovers, Growth differential, International liquidity, Market expectation, Public Debt, Resilient emerging market economies, Short term interest rates, Sovereign bond bond yield, WP

Publication Details

  • Pages:

    21

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2013/264

  • Stock No:

    WPIEA2013264

  • ISBN:

    9781484328446

  • ISSN:

    1018-5941