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On International Integration of Emerging Sovereign Bond Markets
Author:
Mr. Itai Agur
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https://orcid.org/0000-0002-6150-737X
,
Melissa Chan null

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Mr. Mangal Goswami null

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Mr. Sunil Sharma
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Series:
IMF Working Papers
Volume/Issue:
Volume 2018: Issue 018
Language:
English
Publication Date:
24 Jan 2018
DOI:
https://doi.org/10.5089/9781484338667.001
ISBN:
9781484338667
ISSN:
1018-5941
Pages:
34
Keywords:
WP; EM; sovereign bond; currency; yield; F21; F65; G15; H63; O16; sovereign bond bond market; currency bond; EM sovereign bond bond yield; EM bond markets; dollar-denominated debt; EM sovereign bond bond market; EM debt fund; EM currency; EM bond; Securities markets; Bond yields; Bonds; Sovereign bonds; Global; Africa
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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The paper investigates the international integration of EM sovereign dollar-denominated and local-currency bond markets. Factor analysis is used to examine movements in sovereign bond yields and common sources of yield variation. The results suggest that EM dollar-denominated sovereign debt markets are highly integrated; a single common factor that is highly correlated with US and EU interest rates explains, on average, about 80 percent of the total variability in yields. EM sovereign local currency bond markets are not as internationally integrated, and three common factors explain about 74 percent of the total variability. But a factor highly correlated with US and EU interest rates still explains 63 percent of the yield variation accounted for by common factors. That said, there is some diversity among EM countries in the importance of common factors in affecting sovereign debt yields.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund