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Author/Editor:
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Jaramillo, Laura ; Weber, Anke
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Publication Date:
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August 01, 2012
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Electronic Access:
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Free Full text
(PDF file size is 565KB).
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.
The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
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Summary:
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.
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Order a print copy
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Series:
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Working Paper No. 12/198
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Subject(s):
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Bonds | Economic models | Emerging markets | Fiscal policy
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Author's Keyword(s):
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Bond Markets | Emerging Market Economies | Fiscal Deficit | Public Debt |
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English
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Publication Date:
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August 01, 2012
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Format:
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Paper
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Stock No:
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WPIEA2012198
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Pages:
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24
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Price:
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US$18.00 )
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Please address any questions about this title to
publications@imf.org
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