Emerging Market Local Currency Bond Yields and Foreign Holdings in the Post-Lehman Period: A Fortune or Misfortune?
The paper shows that foreign holdings of local currency government bonds in emerging market countries (EMs) have reduced bond yields but have somewhat increased yield volatility in the post-Lehman period. Econometric analyses conducted from a sample of 12 EMs demonstrate that these results are robus...
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Format: | Elektronisch E-Book |
Sprache: | English |
Veröffentlicht: |
Washington, D.C
International Monetary Fund
2014
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Schriftenreihe: | IMF Working Papers
Working Paper No. 14/29 |
Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
Zusammenfassung: | The paper shows that foreign holdings of local currency government bonds in emerging market countries (EMs) have reduced bond yields but have somewhat increased yield volatility in the post-Lehman period. Econometric analyses conducted from a sample of 12 EMs demonstrate that these results are robust and causal. We use an identification strategy exploiting the geography-based measure of EMs financial remoteness vis-à-vis major offshore financial centers as an instrumental variable for the foreign holdings variable.The results also show that, in countries with weak fiscal and external positions, foreign holdings are greatly associated with increased yield volatility. A case study using Poland data elaborates on the cross country findings |
Beschreibung: | 1 Online-Ressource (38 p) |
ISBN: | 1484302850 9781484302859 |
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index_date | 2024-07-03T20:13:13Z |
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spelling | Ebeke, Christian Verfasser aut Emerging Market Local Currency Bond Yields and Foreign Holdings in the Post-Lehman Period A Fortune or Misfortune? Ebeke, Christian Washington, D.C International Monetary Fund 2014 1 Online-Ressource (38 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 14/29 The paper shows that foreign holdings of local currency government bonds in emerging market countries (EMs) have reduced bond yields but have somewhat increased yield volatility in the post-Lehman period. Econometric analyses conducted from a sample of 12 EMs demonstrate that these results are robust and causal. We use an identification strategy exploiting the geography-based measure of EMs financial remoteness vis-à-vis major offshore financial centers as an instrumental variable for the foreign holdings variable.The results also show that, in countries with weak fiscal and external positions, foreign holdings are greatly associated with increased yield volatility. A case study using Poland data elaborates on the cross country findings Online-Ausg Lu, Yinqiu Sonstige oth http://elibrary.imf.org/view/IMF001/21172-9781484302859/21172-9781484302859/21172-9781484302859.xml Verlag URL des Erstveröffentlichers Volltext |
spellingShingle | Ebeke, Christian Emerging Market Local Currency Bond Yields and Foreign Holdings in the Post-Lehman Period A Fortune or Misfortune? |
title | Emerging Market Local Currency Bond Yields and Foreign Holdings in the Post-Lehman Period A Fortune or Misfortune? |
title_auth | Emerging Market Local Currency Bond Yields and Foreign Holdings in the Post-Lehman Period A Fortune or Misfortune? |
title_exact_search | Emerging Market Local Currency Bond Yields and Foreign Holdings in the Post-Lehman Period A Fortune or Misfortune? |
title_exact_search_txtP | Emerging Market Local Currency Bond Yields and Foreign Holdings in the Post-Lehman Period A Fortune or Misfortune? |
title_full | Emerging Market Local Currency Bond Yields and Foreign Holdings in the Post-Lehman Period A Fortune or Misfortune? Ebeke, Christian |
title_fullStr | Emerging Market Local Currency Bond Yields and Foreign Holdings in the Post-Lehman Period A Fortune or Misfortune? Ebeke, Christian |
title_full_unstemmed | Emerging Market Local Currency Bond Yields and Foreign Holdings in the Post-Lehman Period A Fortune or Misfortune? Ebeke, Christian |
title_short | Emerging Market Local Currency Bond Yields and Foreign Holdings in the Post-Lehman Period |
title_sort | emerging market local currency bond yields and foreign holdings in the post lehman period a fortune or misfortune |
title_sub | A Fortune or Misfortune? |
url | http://elibrary.imf.org/view/IMF001/21172-9781484302859/21172-9781484302859/21172-9781484302859.xml |
work_keys_str_mv | AT ebekechristian emergingmarketlocalcurrencybondyieldsandforeignholdingsinthepostlehmanperiodafortuneormisfortune AT luyinqiu emergingmarketlocalcurrencybondyieldsandforeignholdingsinthepostlehmanperiodafortuneormisfortune |