Foreign Participation in Emerging Markets’ Local Currency Bond Markets

Author/Editor:

Shanaka J Peiris

Publication Date:

April 1, 2010

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:

This paper estimates the impact of foreign participation in determining long-term local currency government bond yields and volatility in a group of emerging markets from 2000-2009. The results of a panel data analysis of 10 emerging markets show that greater foreign participation in the domestic government bond market tends to significantly reduce long-term government yields. Moreover, greater foreign participation does not necessarily result in increased volatility in bond yields in emerging markets and, in fact, could even dampen volatility in some instances.

Series:

Working Paper No. 10/88

Subject:

English

Publication Date:

April 1, 2010

ISBN/ISSN:

9781451982602/1018-5941

Stock No:

WPIEA2010088

Format:

Paper

Pages:

20

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