Agur, Itai; Chan, Melissa; Mangal Goswami; Sharma, Sunil - 2018
The paper investigates the international integration of EM sovereign dollar-denominated and local-currency bond markets … correlated with US and EU interest rates explains, on average, about 80 percent of the total variability in yields. EM sovereign … total variability. But a factor highly correlated with US and EU interest rates still explains 63 percent of the yield …