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Bond yields in emerging economies: It matters what state you are in

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  • Jaramillo, Laura
  • Weber, Anke

Abstract

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 more attention to country-specific fiscal fundamentals, revealing greater alertness about default risk.

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Bibliographic Info

Article provided by Elsevier in its journal Emerging Markets Review.

Volume (Year): 17 (2013)
Issue (Month): C ()
Pages: 169-185

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Handle: RePEc:eee:ememar:v:17:y:2013:i:c:p:169-185

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Web page: http://www.elsevier.com/locate/inca/620356

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Keywords: Bond markets; Emerging market economies; Fiscal deficit; Public debt;

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Cited by:
  1. Nazim Belhocine & Salvatore Dell'Erba, 2013. "The Impact of Debt Sustainability and the Level of Debt on Emerging Markets Spreads," IMF Working Papers 13/93, International Monetary Fund.
  2. Laura Jaramillo & Anke Weber, 2013. "Global Spillovers into Domestic Bond Markets in Emerging Market Economies," IMF Working Papers 13/264, International Monetary Fund.

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