FOREIGN PARTICIPATION IN LOCAL CURRENCY BOND MARKETS OF EMERGING ECONOMIES

Shanaka J. Peiris ()
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Shanaka J. Peiris: International Monetary Fund, 700 19th Street, N. W. Washington DC 20431, USA

Journal of International Commerce, Economics and Policy (JICEP), 2013, vol. 04, issue 03, 1-15

Abstract: This paper estimates the impact of foreign participation in determining long-term local currency government bond yields and volatility in a group of emerging markets (EMs) from 2000 to 2009. The results of a panel data analysis of 10 EMs show that greater foreign participation in the domestic government bond market tends to significantly reduce long-term government yields. Moreover, greater foreign participation does not necessarily result in increased volatility in bond yields in EMs and, in fact, could even dampen volatility in some instances.

Keywords: Bond markets; emerging market economies; E44; G18; H63; O16 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (11)

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DOI: 10.1142/S1793993313500166

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