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Bond markets co-movement dynamics and macroeconomic factors: Evidence from emerging and frontier markets

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  • Piljak, Vanja
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    Abstract

    This paper examines the co-movement dynamics of ten emerging and four frontier government bond markets with the US market and the impact of macroeconomic factors and global bond market uncertainty on the time-varying co-movement. We find that macroeconomic factors play important role in explaining time variations in the bond return co-movement. Specifically, domestic macroeconomic factors have higher relative importance than global factors, with domestic monetary policy and domestic inflationary environment identified as the most influential factors. The global bond market uncertainty, based on an implied volatility measure, has explanatory power in driving co-movement dynamics in emerging and frontier bond markets.

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    Bibliographic Info

    Article provided by Elsevier in its journal Emerging Markets Review.

    Volume (Year): 17 (2013)
    Issue (Month): C ()
    Pages: 29-43

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    Handle: RePEc:eee:ememar:v:17:y:2013:i:c:p:29-43

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

    Related research

    Keywords: Emerging market bonds; Macroeconomic factors; Bond market co-movement; Bond market uncertainty;

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    Cited by:
    1. Mensi, Walid & Hammoudeh, Shawkat & Reboredo, Juan Carlos & Nguyen, Duc Khuong, 2014. "Do global factors impact BRICS stock markets? A quantile regression approach," Emerging Markets Review, Elsevier, vol. 19(C), pages 1-17.

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