Correlations in emerging market bonds: The role of local and global factors

Bunda, Irina; Hamann, A. Javier; Lall, Subir

doi:10.1016/j.ememar.2009.02.003

Cited by 62 publications

(37 citation statements)

References 25 publications

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“…The works by Bunda et al (2009), Özatay et al (2009), Comelli (2012, Piljak (2013), Riedel et al (2013), Cifarelli and Paladino (2014), Csontó (2014), and Zinna (2014) are some examples of the broad literature that analyses sovereign bond spreads on emerging economics. Some of the variables included in these authors' analysis are the relative role of global financial conditions and domestic fundamentals (Bunda et al, 2009;Banerji et al, 2014;Cifarelli and Paladino, 2014;Özatay et al, 2009;Zinna 2014); the time-varying nature of spreads determinants in crises periods compared to non-crisis times (Comelli, 2012;Csontó, 2014); or the relevance of variables reflecting uncertainty, confidence conditions and perceptions for the upcoming economic activity (Piljak, 2013;Riedel et al, 2013) in explaining sovereign spreads behaviour.…”

Section: Econometric Methodologymentioning

confidence: 99%

Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility

Rodríguez

Gómez‐Puig

Sosvilla‐Rivero

2016

Journal of International Financial Markets, Institutions and Mo

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a b s t r a c tWe measure the connectedness in EMU sovereign market volatility between April 1999 and January 2014, monitoring stress transmission and identifing episodes of intensive spillovers from one country to the others. We first perform a static and dynamic analysis to measure the total volatility connectedness in the entire period using a framework recently proposed by Diebold and Yilmaz (2014). Second, we use a dynamic analysis to evaluate the net directional connectedness for each country and apply panel model techniques to investigate its determinants. Finally, we examine the time-varying behaviour of net pair-wise directional connectedness at different stages of the recent sovereign debt crisis.

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Section: Econometric Methodologymentioning

confidence: 99%

Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility

Rodríguez

Gómez‐Puig

Sosvilla‐Rivero

2016

Journal of International Financial Markets, Institutions and Mo

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“…McGuire and Schrijvers (2003) and Bunda et al (2010) employ factor models to extract a global factor from bond spreads. González-Rozada and Yeyati (2008) argue that a global factor, which they attribute to investors' risk appetite, global liquidity and contagion, can explain a large fraction of movements in bond spreads.…”

Section: Related Literaturementioning

confidence: 99%

The dynamics of international capital flows: Results from a dynamic hierarchical factor model

Förster

Jorra

Tillmann

2014

Journal of International Money and Finance

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. The present paper examines the degree of comovement of gross capital inflows, which is a highly sensitive issue for policy makers. We estimate a dynamic hierarchical factor model that is able to decompose inflows in a sample of 47 economies into (i) a global factor common to all types of flows and all recipient countries, (ii) a factor specific to a given type of capital inflows, (iii) a regional factor and (iv) a country-specific component. We find that the latter explains by far the largest fraction of fluctuations in capital inflows followed by regional factors, which are particularly important for emerging markets' FDI and portfolio inflows as well as bank lending to emerging Europe. The global factor, however, explains only a small share of overall variation. The exposure to global drivers of capital flows, i.e. the global factor and the factor specific to each type of capital inflows, is particularly pronounced for countries with a more developed financial system. A fixed exchange rate regime does not shield countries from the ebb and flow of global capital flow cycles. Terms of use: Documents in

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“…This is the most straightforward approach to gauge the interdependence between capital markets, and has been widely used (e.g., Flavin et al, 2002;Pretorius, 2002;Bunda et al, 2009). Correlation can be also used us an indirect measure of market integration.…”

Section: Measuring Stock Market Comovementmentioning

confidence: 99%

Does Cultural Distance Matter in International Stock Market Comovement? Evidence from Emerging Economies Around the World

Zhang

2009

SSRN Journal

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Prior research suggests an inverse relationship between geographic distance and financial market linkages. In this paper, we examine whether and how cultural distance between countries mitigates this finding. We find that country-pairs exhibit higher linkages if they have smaller cultural distance.The result remains significant to alternative measures of linkage. Finally, the cultural effect seems to be more pronounced for active trading country-pairs than thin-trading country-pairs.

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Correlations in emerging market bonds: The role of local and global factors

Cited by 62 publications

References 25 publications

Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility

Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility

The dynamics of international capital flows: Results from a dynamic hierarchical factor model

Does Cultural Distance Matter in International Stock Market Comovement? Evidence from Emerging Economies Around the World

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