UID:
edoccha_9958082880902883
Format:
1 online resource (39 p.)
ISBN:
1-4843-0284-2
,
1-4755-5928-3
,
1-4755-1470-0
Series Statement:
IMF Working Papers
Content:
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.
Note:
Description based upon print version of record.
,
Cover; 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
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Bond yields, fundamentals, and participation of foreign investorsYield 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
,
English
Additional Edition:
ISBN 1-4843-0285-0
Language:
English
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