Global Spillovers into Domestic Bond Markets in Emerging Market Economies

Laura Jaramillo and Anke Weber

No 2013/264, IMF Working Papers from International Monetary Fund

Abstract: While fiscal conditions remain healthier than in advanced economies, emerging economies continue to be exposed to negative spillovers if global conditions were to become less favorable. This paper finds that domestic bond yields in emerging economies are heavily influenced by two international factors: global risk appetite and global liquidity. Using a novel approach, the analysis goes on to show that the vulnerability of emerging economies to these factors is not uniform but rather depends on country specific characteristics, namely fiscal fundamentals, financial sector openness and the external current account balance.

Keywords: WP; bond yield; bond market; domestic bond yields; Bond Markets; Emerging Market Economies; Fiscal Deficit; Public Debt; Global Spillovers; sovereign bond bond yield; resilient emerging market economies; growth differential; market expectation; emerging economy country; Bond yields; Emerging and frontier financial markets; International liquidity; Fiscal stance; Short term interest rates; Global (search for similar items in EconPapers)
Pages: 21
Date: 2013-12-23
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Citations: View citations in EconPapers (13)

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