International portfolio bond spillovers

Luis Ceballos and Damian Romero

Economics Letters, 2022, vol. 220, issue C

Abstract: We analyze spillovers of financial conditions on international portfolio bond flows. We document significant US financial conditions spillovers using data from developed and emerging countries. To disentangle the nature of spillovers, we rely on panel spatial autoregressive models, and third market competition on global trade flows to capture direct and indirect effects. We find that 30% of US spillovers are due to indirect effects in mutual funds with a regional-target investment focus.

Keywords: Spillovers; Portfolio bonds; Financial conditions; International finance (search for similar items in EconPapers)
JEL-codes: E44 F30 G15 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:220:y:2022:i:c:s0165176522003214

DOI: 10.1016/j.econlet.2022.110847

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