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Record Nr. |
UNINA9910811406703321 |
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Autore |
Jaramillo Laura |
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Titolo |
Bond Yields in Emerging Economies : : It Matters What State You Are In / / Laura Jaramillo, Anke Weber |
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Pubbl/distr/stampa |
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Washington, D.C. : , : International Monetary Fund, , 2012 |
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ISBN |
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1-4755-1103-5 |
1-4755-3136-2 |
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Edizione |
[1st ed.] |
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Descrizione fisica |
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1 online resource (26 p.) |
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Collana |
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IMF Working Papers |
IMF working paper ; ; WP/12/198 |
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Altri autori (Persone) |
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Disciplina |
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Soggetti |
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Bonds |
Investments - Developing countries |
Finance: General |
Investments: Bonds |
Public Finance |
Financial Markets and the Macroeconomy |
Fiscal Policy |
International Financial Markets |
Debt |
Debt Management |
Sovereign Debt |
General Financial Markets: General (includes Measurement and Data) |
Investment & securities |
Public finance & taxation |
Finance |
Bond yields |
Government debt management |
Emerging and frontier financial markets |
Public debt |
Securities markets |
Financial institutions |
Public financial management (PFM) |
Financial markets |
Debts, Public |
Financial services industry |
Capital market |
United States |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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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 |
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Sommario/riassunto |
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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 to country-specific fiscal fundamentals, revealing greater alertness about default risk. |
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