Front Matter
Author:
Mr. Christian H Ebeke
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Miss Yinqiu Lu
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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

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Emerging Market Local Currency Bond Yields and Foreign Holdings in the Post-Lehman Period - a Fortune or Misfortune?
Author:
Mr. Christian H Ebeke
and
Miss Yinqiu Lu