Determinants of sovereign bond yields in emerging economies: Some panel inferences

Sri Hari NAIDU. A, Phanindra Goyari and Bandi Kamaiah
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Sri Hari NAIDU. A: National Institute of Public Finance and Policy, India
Phanindra Goyari: University of Hyderabad, India
Bandi Kamaiah: University of Hyderabad, India

Theoretical and Applied Economics, 2016, vol. XXIII, issue 3(608), Autumn, 101-118

Abstract: In the backdrop of International financial crisis, debt markets across the globe became highly volatile, highly contagious and pose a high risk to advanced as well as emerging economies. In this regard, the study tries to identify the proximate determinants of sovereign bond yields in emerging economies from 1980 to 2013. The empirical results of Pedroni panel cointegration tests and dynamic ordinary least squares (DOLS) tests show that the factors like exchange rate, federal reserve rate, oil price, US bond yield, gold price and real interest rate are the proximate determinants of the emerging economies' bond yields.

Keywords: Sovereign bond yields; spillover effects; panel cointegration; fed rate; oil price. (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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