Correlations in Emerging Market Bonds: The Role of Local and Global Factors
Author/Editor: A Javier Hamann, Irina Bunda, Subir Lall
Release Date: © January, 2010
ISBN
: 978-1-45196-177-5
Stock #: WPIEA2010006
English
Stock Status: On back-order
Languages and formats available
English | French | Spanish | Arabic | Russian | Chinese | Portuguese | |
Paperback | Yes | ||||||
Yes |
Description
This paper examines the comovement in emerging market bond returns and disentangles the influence of external and domestic factors. The conceptual framework, set in the context of asset allocation, allows us to describe the channels through which shocks originating in a particular emerging or mature market are transmitted across countries and markets. We show that using a simple measure of cross-country correlations together with the commonly used average correlation coefficient can be more informative during episodes of heightened market instability. Data for the period 1997-2008 are analyzed for evidence of true contagion and common external shocks.
Taxonomy
Bond markets , Capital markets , Financial institutions and markets
More publications in this series: Working Papers
More publications by: A Javier Hamann ; Irina Bunda ; Subir Lall