Front Matter Page
European Department
Contents
I. Introduction
II. Cross-Country Estimates
A. Empirical Design
Estimating the effects of the foreign ownership on the level of local currency bond yields
Estimating the effect of the foreign ownership on the volatility of local currency bond yields
B. Data
C. Baseline Estimates and Results
Foreign holdings and the level of local bond yields
Foreign holdings and the volatility of local bond yields
D. Robustness Checks
Model of the level of yields
Model of the volatility of yields
E. Macroeconomic Fundamentals and the Impact of Foreign Holdings
Bond yields, fundamentals, and participation of foreign investors
Yield volatility, fundamentals, and participation of foreign investors
III. Case-Study: Poland
A. Error-Correction Specification Using Weekly Data
Analytical framework and data
Estimation results
B. GARCH Model Using Daily Data
C. A GARCH Approach Using Monthly Foreign Holdings Data
IV. Conclusion
References
Appendixes