Financial development, government bond returns, and stability: International evidence

Sabri Boubaker, Duc Khuong Nguyen, Vanja Piljak and Andreas Savvides

Journal of International Financial Markets, Institutions and Money, 2019, vol. 61, issue C, 81-96

Abstract: This paper investigates the effect of financial development on government bond returns in developed and emerging markets under different market conditions. Using a quantile regression framework for quarterly panel data from 28 countries over 1999–2015, our results reveal that the effect of financial development on government bond returns (changes in bond prices) differs according to conditions in the market and between developed and emerging markets. The effect is positive and significant only in good market conditions for developed markets. For emerging markets financial development has a positive and significant effect for good market conditions but the effect is negative and significant for bad market conditions.

Keywords: Financial development; Government bond markets; Emerging markets; Quantile regression (search for similar items in EconPapers)
JEL-codes: F30 G15 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (6)

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Working Paper: Financial Development, Government Bond Returns, and Stability: International Evidence (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:61:y:2019:i:c:p:81-96

DOI: 10.1016/j.intfin.2019.02.006

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