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International portfolio bond spillovers

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  • Ceballos, Luis
  • Romero, Damian

Abstract

We analyze spillovers of financial conditions on international portfolio bond flows. We document significant US financial conditions spillovers using data from developed and emerging countries. To disentangle the nature of spillovers, we rely on panel spatial autoregressive models, and third market competition on global trade flows to capture direct and indirect effects. We find that 30% of US spillovers are due to indirect effects in mutual funds with a regional-target investment focus.

Suggested Citation

  • Ceballos, Luis & Romero, Damian, 2022. "International portfolio bond spillovers," Economics Letters, Elsevier, vol. 220(C).
    • Handle: RePEc:eee:ecolet:v:220:y:2022:i:c:s0165176522003214
    DOI: 10.1016/j.econlet.2022.110847
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    References listed on IDEAS

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    More about this item

    Keywords

    Spillovers; Portfolio bonds; Financial conditions; International finance;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F30 - International Economics - - International Finance - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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