On international integration of emerging sovereign bond markets
Itai Agur (),
Mangal Goswami and
Sunil Sharma ()
Emerging Markets Review, 2019, vol. 38, issue C, 347-363
The paper investigates the international integration of EM sovereign dollar-denominated and local-currency bond markets. Factor analysis is used to examine movements in bond yields and common sources of variation. Results suggest that EM dollar-denominated debt markets are highly integrated; one common factor, highly correlated with US and EU interest rates, explains 80% of the total variability in yields. Local currency bond markets are not as internationally integrated, and three common factors explain 74% of total variability. But a global interest rates factor still explains 63% of the yield variation accounted for by common factors. Heterogeneity among EMs is explored.
Keywords: Financial globalization; Bond markets; Emerging markets; Capital flows; Safe assets; Debt denomination; Factor analysis (search for similar items in EconPapers)
JEL-codes: F21 F65 G15 H63 O16 (search for similar items in EconPapers)
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Working Paper: On International Integration of Emerging Sovereign Bond Markets (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:38:y:2019:i:c:p:347-363
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