Bond Market Emergence

Jan Hanousek, Evžen KoÄ Enda and Petr ZemÄ Ã­k
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Evžen KoÄ Enda: Evžen KoÄ enda, CERGE-EI, PO Box 882, Politických vÄ›zňů 7, 111 21 Prague, Czech Republic. Phone: (+420) 224 005 149, Fax: (+420) 224 211 374. E-mail: evzen.kocenda@cerge-ei.cz.
Petr ZemÄ Ã­k: Petr ZemÄ Ã­k, PO Box 882, Politických vÄ›zňů 7, 111 21 Prague, Czech Republic. Phone: (+420)224 005 154, Fax: (+420) 224 211 374. E-mail: petr.zemcik@cerge-ei.cz.
Authors registered in the RePEc Author Service: Evžen Kočenda

Journal of Emerging Market Finance, 2008, vol. 7, issue 2, 141-168

Abstract: We analyse the emerging Serbian bond market to compare its behaviour to developed markets and to indicate what is behind bond market emergence. As an analytical tool we model the term structure of the bond market. We find that a modified standard model performs rather well in the environment of an emerging market with numerous imperfections and external shocks involved since we obtain a concave yield curve as in developed markets. Further, we show the link of such a structure to macroeconomic developments in terms of responsiveness of interest rates to changes in industrial production and inflation. Finally, the frequency of trading, market liquidity and transparency can be considered as drivers that make the market emerge.

Keywords: Government bonds; term structure; yield curve; macroeconomics fundamentals; emerging market; Serbia; JEL Classification: C53; JEL Classification: E43; JEL Classification: E44; JEL Classification: G15; JEL Classification: P43 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:emffin:v:7:y:2008:i:2:p:141-168

DOI: 10.1177/097265270800700202

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