Bond yields in emerging economies: It matters what state you are in

Laura Jaramillo and Anke Weber

Emerging Markets Review, 2013, vol. 17, issue C, 169-185

Abstract: 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 more attention to country-specific fiscal fundamentals, revealing greater alertness about default risk.

Keywords: Bond markets; Emerging market economies; Fiscal deficit; Public debt (search for similar items in EconPapers)
JEL-codes: E44 E62 G15 H63 O16 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (53)

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Working Paper: Bond Yields in Emerging Economies: It Matters What State You Are In (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:17:y:2013:i:c:p:169-185

DOI: 10.1016/j.ememar.2013.09.003

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