Financial Development, Government Bond Returns, and Stability: International Evidence

Sabri Boubaker, Duc Khuong Nguyen, Vanja Piljak and Andreas Savvides ()

No 2018-007, Working Papers from Department of Research, Ipag Business School

Abstract: This paper investigates the effect of financial development on government bond returns in developed and emerging markets under different market conditions. By applying a quantile regression framework for quarterly panel data from 28 countries over 1999?2015, our results reveal that the effect of financial development on government bond returns (changes in bond prices) differs according to conditions in the market and between developed and emerging markets. Regarding developed markets, the effect is positive and significant only in good (high return) market conditions. For emerging markets financial development has a positive and significant effect for good market conditions but the effect is negative and significant for bad (low returns) market conditions.

Keywords: Financial development; Government bond markets; Quantile regression; Emerging markets (search for similar items in EconPapers)
Pages: 40 pages
Date: 2018-01-01
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Journal Article: Financial development, government bond returns, and stability: International evidence (2019)
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