Frontier and emerging government bond markets

Vanja Piljak and Laurens Swinkels

Emerging Markets Review, 2017, vol. 30, issue C, 232-255

Abstract: We investigate correlation dynamics and diversification properties of US dollar-denominated debt issued by governments of frontier markets. Our analysis is on the aggregate, regional, and country level, with a sample covering 29 countries over the period 2001–2013. We show that the correlation between the returns of frontier government bond markets and US government bonds is time-varying, but on average close to zero. Correlations with US investment grade corporate bonds, US corporate high yield bonds, and US dollar-denominated debt issued by governments of emerging markets are substantially higher, which limits diversification benefits for investors who already own these asset classes.

Keywords: Bonds; Emerging markets; Frontier markets; Diversification (search for similar items in EconPapers)
JEL-codes: G11 G12 G15 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:30:y:2017:i:c:p:232-255

DOI: 10.1016/j.ememar.2015.10.002

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