Foreign Investor Flows and Sovereign Bond Yields in Advanced Economies:
Asset allocation decisions of international investors are at the core of capital flows. This paper explores the impact of these decisions on long-term government bond yields, using a quarterly investor base dataset for 22 advanced economies over 2004-2012. We find that a one percentage point increas...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
2014
|
| Schriftenreihe: | IMF Working Papers
Working Paper No. 14/27 |
| Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Zusammenfassung: | Asset allocation decisions of international investors are at the core of capital flows. This paper explores the impact of these decisions on long-term government bond yields, using a quarterly investor base dataset for 22 advanced economies over 2004-2012. We find that a one percentage point increase in the share of government debt held by foreign investors can explain a 6-10 basis point reduction in long-term sovereign bond yields over the sample period. Accordingly, international flows to core advanced economy bond markets over 2008-12 are estimated to have reduced 10-year government bond yields by 40-65 basis points in Germany, 20-30 basis points in the U.K., and 35-60 basis points in the U.S. In contrast, foreign outflows are estimated to have raised 10-year government bond yields by 40-70 basis points in Italy and 110-180 basis points in Spain during the same period. Our results suggest that the divergence in long-term bond yields between core and periphery economies in the euro area may continue unless the "normalization" of macroeconomic determinants of bond yields is accompanied by a similar "normalization" of the foreign investor base |
| Beschreibung: | 1 Online-Ressource (33 p) |
| ISBN: | 1475558783 9781475558784 |
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| illustrated | Not Illustrated |
| index_date | 2024-07-03T20:13:13Z |
| indexdate | 2024-07-10T09:35:20Z |
| institution | BVB |
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| record_format | marc |
| series2 | IMF Working Papers |
| spelling | Arslanalp, Serkan Verfasser aut Foreign Investor Flows and Sovereign Bond Yields in Advanced Economies Arslanalp, Serkan Washington, D.C International Monetary Fund 2014 1 Online-Ressource (33 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 14/27 Asset allocation decisions of international investors are at the core of capital flows. This paper explores the impact of these decisions on long-term government bond yields, using a quarterly investor base dataset for 22 advanced economies over 2004-2012. We find that a one percentage point increase in the share of government debt held by foreign investors can explain a 6-10 basis point reduction in long-term sovereign bond yields over the sample period. Accordingly, international flows to core advanced economy bond markets over 2008-12 are estimated to have reduced 10-year government bond yields by 40-65 basis points in Germany, 20-30 basis points in the U.K., and 35-60 basis points in the U.S. In contrast, foreign outflows are estimated to have raised 10-year government bond yields by 40-70 basis points in Italy and 110-180 basis points in Spain during the same period. Our results suggest that the divergence in long-term bond yields between core and periphery economies in the euro area may continue unless the "normalization" of macroeconomic determinants of bond yields is accompanied by a similar "normalization" of the foreign investor base Online-Ausg Poghosyan, Tigran Sonstige oth http://elibrary.imf.org/view/IMF001/21164-9781475558784/21164-9781475558784/21164-9781475558784.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Arslanalp, Serkan Foreign Investor Flows and Sovereign Bond Yields in Advanced Economies |
| title | Foreign Investor Flows and Sovereign Bond Yields in Advanced Economies |
| title_auth | Foreign Investor Flows and Sovereign Bond Yields in Advanced Economies |
| title_exact_search | Foreign Investor Flows and Sovereign Bond Yields in Advanced Economies |
| title_exact_search_txtP | Foreign Investor Flows and Sovereign Bond Yields in Advanced Economies |
| title_full | Foreign Investor Flows and Sovereign Bond Yields in Advanced Economies Arslanalp, Serkan |
| title_fullStr | Foreign Investor Flows and Sovereign Bond Yields in Advanced Economies Arslanalp, Serkan |
| title_full_unstemmed | Foreign Investor Flows and Sovereign Bond Yields in Advanced Economies Arslanalp, Serkan |
| title_short | Foreign Investor Flows and Sovereign Bond Yields in Advanced Economies |
| title_sort | foreign investor flows and sovereign bond yields in advanced economies |
| url | http://elibrary.imf.org/view/IMF001/21164-9781475558784/21164-9781475558784/21164-9781475558784.xml |
| work_keys_str_mv | AT arslanalpserkan foreigninvestorflowsandsovereignbondyieldsinadvancedeconomies AT poghosyantigran foreigninvestorflowsandsovereignbondyieldsinadvancedeconomies |