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

Author/Editor:

Laura Jaramillo ; Anke Weber

Publication Date:

August 1, 2012

Electronic Access:

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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 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.

Series:

Working Paper No. 2012/198

Subject:

Bond yields Emerging and frontier financial markets Financial institutions Financial markets Government debt management Public debt Public financial management (PFM) Securities markets

English

Publication Date:

August 1, 2012

ISBN/ISSN:

9781475505481/1018-5941

Stock No:

WPIEA2012198

Pages:

25

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