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Scarcity Effects of Quantitative Easing on Market Liquidity : Evidence from the Japanese Government Bond Market
Han, Fei - 2018
Quantitative easing could improve market liquidity through many channels such as relaxing bank funding constraints, increasing risk appetite, and facilitating trades. However, it can also reduce market liquidity when the increase in the central bank's holdings of certain securities leads to a...
Persistent link: https://www.econbiz.de/10012913879
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China's Bond Market and Global Financial Markets
Cerutti, Eugenio - 2019
A cross-country comparative analysis shows that there is substantial room for further integration of China into global …, notably the foreign exchange market. Even though the increased integration of China into international capital markets would … increase its exposure to the global financial cycle, the costs in terms of monetary autonomy would not be large given China …
Persistent link: https://www.econbiz.de/10012895129
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Asian Financial Integration : Trends and Interruptions
Loungani, Prakash - 2011
The paper compares trends in financial integration within Asia with those in industrialized countries and other regional groups. Declines in cross-country dispersion in equity returns and interest rates suggest increased Asian integration, with the process interrupted by crises and global...
Persistent link: https://www.econbiz.de/10013131605
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Sovereign Spreads and Contagion Risks in Asia
Caceres, Carlos - 2011
This paper explores how much of the movements in the sovereign spreads of Asian economies over the course of the global financial crisis has reflected shifts in (i) global risk aversion; (ii) country-specific risks, directly from worsening fundamentals, and indirectly from spillovers originating...
Persistent link: https://www.econbiz.de/10013124056
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Bond Yields in Emerging Economies : It Matters What State You are in
Jaramillo, Laura - 2012
While many studies have looked into the determinants of yields on externally issued sovereign bonds of emerging economies, analysis of domestically issued bonds has hitherto been limited, despite their growing relevance. This paper finds that the extent to which fiscal variables affect domestic...
Persistent link: https://www.econbiz.de/10013098609
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Global Bonding : Do U.S. Bond and Equity Spillovers Dominate Global Financial Markets?
Bayoumi, Tamim - 2013
This paper uses a novel variant of identification through hetroscedacity to estimate spillovers across U.S., Euro area, Japanese, and UK government bond and equity markets in a vector autoregression. The results suggest that U.S. financial shocks reverberate around the world much more strongly...
Persistent link: https://www.econbiz.de/10013084151
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Bond Markets in Africa
Mu, Yibin - 2013
African bond markets have been steadily growing in recent years, but nonetheless remain undeveloped. African countries would benefit from greater access to financing and deeper financial markets. This paper compiles a unique set of data on corporate bond markets in Africa. It then applies an...
Persistent link: https://www.econbiz.de/10013085987
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Nonresident Capital Flows and Volatility : Evidence from Malaysia's Local Currency Bond Market
Grigorian, David - 2019
Malaysia's local currency debt market is one of the most liquid public debt markets in theworld. In recent years, the growing share of nonresident holders of debt has been a source ofconcern for policymakers as a reason behind exchange rate volatility. The paper provides anoverview of the recent...
Persistent link: https://www.econbiz.de/10012892918
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Long-Term Returns in Distressed Sovereign Bond Markets : How Did Investors Fare?
Andritzky, Jochen R. - 2019
Sovereign debt restructurings are perceived as inflicting large losses to bondholders.However, many bonds feature high coupons and often exhibit strong post-crisis recoveries. To account for these aspects, we analyze the long-term returns of sovereign bonds during 32 crises since 1998, taking...
Persistent link: https://www.econbiz.de/10012865834
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Dealing with Systemic Sovereign Debt Crises : Fiscal Consolidation, Bail-Ins or Official Transfers?
Sandri, Damiano - 2016
The paper presents a tractable model to understand how international financial institutions (IFIs) should deal with the sovereign debt crisis of a systemic country, in which case private creditors' bail-ins entail international spillovers. Besides lending to the country up to its borrowing...
Persistent link: https://www.econbiz.de/10013002157