An empirical illustration of the integration of sovereign bond markets

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management Pub Date : 2021-09-01 DOI:10.1016/j.mulfin.2020.100674

Kei-Ichiro Inaba

引用次数: 2

Abstract

This article analyses developments in and the determinants of the country-specific dependence of sovereign bond returns on global factors for 41 economies. The dependence is cyclical and substantial: the average for the sample economies and period is around 56 percent. This is consistent with the global financial cycle hypothesis stressing the dominant role played by global factors in the synchronization of asset price changes across economies. The dependence is smaller for emerging economies than for advanced economies. Differences in the dependence across economies and over time are attributable to country fixed effects and time-varying factors. These factors include the size and openness of domestic bond markets, the variability of foreign exchange rates, macro-economic policies, and national indebtedness. One policy implication of the global financial cycle hypothesis is also examined – the dilemma between international capital mobility and monetary policy.

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主权债券市场一体化的实证分析

本文分析了41个经济体主权债券回报对全球因素的国别依赖的发展及其决定因素。这种依赖是周期性和实质性的:样本经济体和时期的平均水平约为56%。这与强调全球因素在各经济体资产价格同步变化中发挥主导作用的全球金融周期假说是一致的。对新兴经济体的依赖程度小于发达经济体。不同经济体之间和不同时期的依赖差异可归因于国家固定效应和时变因素。这些因素包括国内债券市场的规模和开放程度、外汇汇率的可变性、宏观经济政策和国家债务。本文还考察了全球金融周期假说的一个政策含义——国际资本流动与货币政策之间的困境。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Multinational Financial Management BUSINESS, FINANCE-

CiteScore

7.30

自引率

4.80%

发文量

审稿时长

30 days

期刊介绍： International trade, financing and investments have grown at an extremely rapid pace in recent years, and the operations of corporations have become increasingly multinationalized. Corporate executives buying and selling goods and services, and making financing and investment decisions across national boundaries, have developed policies and procedures for managing cash flows denominated in foreign currencies. These policies and procedures, and the related managerial actions of executives, change as new relevant information becomes available. The purpose of the Journal of Multinational Financial Management is to publish rigorous, original articles dealing with the management of the multinational enterprise. Theoretical, conceptual, and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • Foreign exchange risk management • International capital budgeting • Forecasting exchange rates • Foreign direct investment • Hedging strategies • Cost of capital • Managing transaction exposure • Political risk assessment • International working capital management • International financial planning • International tax management • International diversification • Transfer pricing strategies • International liability management • International mergers.