sovereign safe assets and German government bonds adjusted for sovereign credit risk, liquidity and swap market frictions. A … higher premium suggests less substitutability of sovereign bonds. We document a rise in the 'Bund premium' in the post …-crisis period. We show that there is a negative relationship of the premium with the relative supply of German sovereign bonds …

African bond markets have been steadily growing in recent years, but nonetheless remain undeveloped. African countries … corporate bond markets in Africa. It then applies an econometric model to analyze the key determinants of African government … securities market and corporate bond market capitalization. Government securities market capitalization is directly related to …

We analyze the long-run impact of emerging-market sovereign bond yields on corporate bond yields, finding that the … bonds are more liquid. It is also greater for corporate bonds with lower ratings, shorter maturities, and for those issued …

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 …-currency sovereign bond markets by increasing yield volatility and, beyond a certain threshold, amplify these spillovers. These estimates …

The paper investigates the international integration of EM sovereign dollar-denominatedand local-currency bond markets …. Factor analysis is used to examine movements insovereign bond yields and common sources of yield variation. The results … local currency bond markets are notas internationally integrated, and three common factors explain about 74 percent of …

negative spillovers if global conditions were to become less favorable. This paper finds that domestic bond yields in emerging …

. Earlier in the crisis, the increase in market-implied contagion led to higher Asian sovereign bond yield spreads over swaps …

Sovereign debt restructurings are perceived as inflicting large losses to bondholders.However, many bonds feature high … sovereign bonds during 32 crises since 1998, taking into account losses from bond exchanges as wellas profits before and after … significantly lower than the return on bonds in crises without restructuring. Returns differ considerably depending on the …