On International Integration of Emerging Sovereign Bond Markets

IMF Working Papers, January 24, 2018

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On International Integration of Emerging Sovereign Bond Markets

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Bibliographic details

• Authors: Itai Agur, Melissa Chan, Mangal Goswami, Sunil Sharma
• Published: January 24, 2018
• Series: IMF Working Papers
• DOI: https://doi.org/10.5089/9781484338667.001

Summary and methodology

• Investigates international integration of EM sovereign dollar-denominated and local-currency bond markets.
• Uses factor analysis to examine movements in sovereign bond yields and common sources of yield variation.

Key empirical findings

• EM dollar-denominated sovereign debt markets are highly integrated.
  • A single common factor that is highly correlated with US and EU interest rates explains, on average, about 80 percent of the total variability in yields.
• EM sovereign local currency bond markets are less internationally integrated.
  • Three common factors explain about 74 percent of the total variability in local-currency yields.
  • A factor highly correlated with US and EU interest rates explains 63 percent of the yield variation accounted for by common factors.
• There is diversity across EM countries in the importance of common factors in affecting sovereign debt yields.

Thematic classification and keywords (as presented)

• Subject: Bond yields, Bonds, Financial institutions, Financial markets, Public debt, Securities markets, Sovereign bonds
• Keywords: Africa, Bond yields, Bonds, currency, currency bond, dollar-denominated debt, EM, EM bond, EM bond markets, EM currency, EM debt fund, EM sovereign bond bond market, EM sovereign bond bond yield, F21, F65, G15, Global, H63, O16, Securities markets, sovereign bond, sovereign bond bond market, Sovereign bonds, WP, yield

Publication metadata (excerpts)

• Pages: 34
• Volume: 2018
• Issue: 018
• Series: Working Paper No. 2018/018
• DOI: https://doi.org/10.5089/9781484338667.001
• ISBN: 9781484338667
• ISSN: 1018-5941

Source: IMF Working Paper "On International Integration of Emerging Sovereign Bond Markets" by Itai Agur, Melissa Chan, Mangal Goswami, Sunil Sharma (January 24, 2018).

Content in this bundle

• On International Integration of Emerging Sovereign Bond Markets, WP/18/18, January 2018
  • On International Integration of Emerging Sovereign Bond Markets, WP/18/18, January 2018 (Markdown version)
  • On International Integration of Emerging Sovereign Bond Markets, WP/18/18, January 2018 (PDF)