Published:
Washington, D.C: International Monetary Fund, 2015
Online-Ausg.
Published in:IMF Working Papers: Working Paper No. 15 / 141
Extent:
Online-Ressource (22 p)
Language:
English
DOI:
10.5089/9781513552750.001
ISBN:
1513552759;
9781513552750
Identifier:
Type of reproduction:
Online-Ausg.
Origination:
Footnote:
Description:
Foreign holdings of emerging markets (EMs) government bonds have increased substantially over the last decade. While foreign participation in local-currency sovereign bond markets provides an additional source of financing and reduces sovereign yields, it raises concerns about increased sensitivity of yields to shifts in market sentiment. The analysis in this paper suggests that foreign participation and an undiversified investor base transmit global financial shocks to local-currency sovereign bond markets by increasing yield volatility and, beyond a certain threshold, amplify these spillovers. These estimates are robust to a range of econometric techniques including panel smooth threshold regression