Bond Yields in Emerging Economies: It Matters What State You Are In

Laura Jaramillo and Anke Weber

No 2012/198, IMF Working Papers from International Monetary Fund

Abstract: While many studies have looked into the determinants of yields on externally issued sovereign bonds of emerging economies, analysis of domestically issued bonds has hitherto been limited, despite their growing relevance. This paper finds that the extent to which fiscal variables affect domestic bond yields in emerging economies depends on the level of global risk aversion. During tranquil times in global markets, fiscal variables do not seem to be a significant determinant of domestic bond yields in emerging economies. However, when market participants are on edge, they pay greater attention to country-specific fiscal fundamentals, revealing greater alertness about default risk.

Keywords: WP; bond yield; emerging market; Bond Markets; Emerging Market Economies; Fiscal Deficit; Public Debt; domestic bond yields; growth rate; growth expectation; fund assets; estimation result; growth projection; long-term bond yields; Bond yields; Government debt management; Emerging and frontier financial markets; Securities markets; Global (search for similar items in EconPapers)
Pages: 25
Date: 2012-08-01
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Citations: View citations in EconPapers (22)

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Journal Article: Bond yields in emerging economies: It matters what state you are in (2013)
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