Foreign Participation in Emerging Markets’ Local Currency Bond Markets

Shanaka Peiris

No 2010/088, IMF Working Papers from International Monetary Fund

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 from 2000-2009. The results of a panel data analysis of 10 emerging markets 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 emerging markets and, in fact, could even dampen volatility in some instances.

Keywords: WP; bond market; bond yield; government bond; emerging market; Bond Markets; Emerging Market Economies; government bond bond market; government bond bond yield; yield volatility; bond market imbalance; yields in EMs; Bond yields; Sovereign bonds; Securities markets; Yield curve; Currencies; Global (search for similar items in EconPapers)
Pages: 20
Date: 2010-04-01
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Citations: View citations in EconPapers (76)

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