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Foreign Participation in Emerging Markets' Local Currency Bond Markets

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  • Shanaka J. Peiris
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    Abstract

    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.

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    File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=23695
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    Bibliographic Info

    Paper provided by International Monetary Fund in its series IMF Working Papers with number 10/88.

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    Length: 24
    Date of creation: 01 Apr 2010
    Date of revision:
    Handle: RePEc:imf:imfwpa:10/88

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    Related research

    Keywords: Capital inflows; Foreign investment;

    This paper has been announced in the following NEP Reports:

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