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Financial Development, Government Bond Returns, and Stability: International Evidence

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  • Sabri Boubaker
  • Duc Khuong Nguyen
  • Vanja Piljak
  • Andreas Savvides

Abstract

This paper investigates the effect of financial development on government bond returns in developed and emerging markets under different market conditions. By applying a quantile regression framework for quarterly panel data from 28 countries over 1999?2015, our results reveal that the effect of financial development on government bond returns (changes in bond prices) differs according to conditions in the market and between developed and emerging markets. Regarding developed markets, the effect is positive and significant only in good (high return) market conditions. For emerging markets financial development has a positive and significant effect for good market conditions but the effect is negative and significant for bad (low returns) market conditions.

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  • Sabri Boubaker & Duc Khuong Nguyen & Vanja Piljak & Andreas Savvides, 2018. "Financial Development, Government Bond Returns, and Stability: International Evidence," Working Papers 2018-007, Department of Research, Ipag Business School.
    • Handle: RePEc:ipg:wpaper:2018-007
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    More about this item

    Keywords

    Financial development; Government bond markets; Quantile regression; Emerging markets;
    All these keywords.

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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