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Integration of Sovereign Bonds Markets: Time Variation and Maturity Effects

Ines Chaieb (), Vihang Errunza and Rajna GIBSON Brandon
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Vihang Errunza: McGill University
Rajna GIBSON Brandon: University of Geneva and Swiss Finance Institute

No 14-47, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: We examine time varying integration of developed (DM) and emerging (EM) market government bonds. Although we find an upward trend for most countries and maturity bands, we do observe reversals and negative trends among both DMs and EMs and for some maturities during the financial crisis. We examine potential factors that could explain the integration of the long vs. the short maturity bond segments and show that enhanced institutional quality, higher credit quality and better future investment opportunities would jointly contribute to a higher integration of the long vs. the short maturity bonds by about 15%.

Keywords: market integration; term structure of integration; sovereign bond markets; political risk; developed markets; emerging markets; sovereign risk (search for similar items in EconPapers)
JEL-codes: G15 G12 E44 F31 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk and nep-mac
Date: 2014-07
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp1447

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