Global Spillovers into Domestic Bond Markets in Emerging Market Economies

Author/Editor: Laura Jaramillo ; Anke Weber
Publication Date: December 23, 2013
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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
Summary: 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.
Series: Working Paper No. 13/264
Subject(s): Spillovers | Bond markets | Emerging markets | Public debt

Publication Date: December 23, 2013
ISBN/ISSN: 9781484328446/1018-5941 Format: Paper
Stock No: WPIEA2013264 Pages: 21
US$18.00 (Academic Rate:
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