发展本币债券市场，并发现利率平价

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance Pub Date : 2025-02-26 DOI:10.1016/j.jimonfin.2025.103310

Cyn-Young Park , Kwanho Shin

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引用次数: 0

摘要

本研究基于新兴市场经济体（EMEs）市场参与者的实际预期，考察了本币债券市场（LCBM）的增长和非银行金融机构（NBFI）的扩张如何影响未披露的利率平价（UIP）状况。使用1996年1月至2022年4月的数据，我们发现随着lcbm的增长和EMEs中nbfi的扩大，UIP偏差减少。这一进展也使这些市场的UIP保费动态更接近发达经济体。此外，在lcbm规模较大的eme中，资本流动对UIP溢价的敏感性增加。然而，尽管lcbm得到了发展，但我们发现发达经济体和新兴经济体都存在“原罪还原”的有力证据，正如在汇率升值（或贬值）的情况下，总投资组合债务流入增加（或减少）所证明的那样。此外，我们发现LCBM的进步放大了实际汇率贬值的影响，但仅限于新兴市场。

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The development of local currency bond markets and uncovered interest rate parity

This study examines how the growth of local currency bond markets (LCBM) and the expansion of nonbank financial institutions (NBFI) influence the uncovered interest parity (UIP) condition, based on the actual expectations of market participants in emerging market economies (EMEs). Using data from January 1996 to April 2022, we find a reduction in UIP deviations with the growth of LCBMs and the expansion of NBFIs in EMEs. This progress also brings the dynamics of UIP premiums in these markets closer to those seen in advanced economies. Additionally, in EMEs with a larger size of LCBMs, capital flows exhibit increased sensitivity to UIP premiums. However, despite the development of LCBMs, we find strong evidence of the ’original sin redux’ in both advanced and emerging economies, as evidenced by the increase (or decrease) of gross portfolio debt inflows with an appreciating (or depreciating) exchange rate. Additionally, we find that LCBM advancements amplify the impact of actual exchange rate depreciation, but only in EMEs.

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来源期刊

Journal of International Money and Finance BUSINESS, FINANCE-

CiteScore

4.20

自引率

4.00%

发文量

141

期刊介绍： Since its launch in 1982, Journal of International Money and Finance has built up a solid reputation as a high quality scholarly journal devoted to theoretical and empirical research in the fields of international monetary economics, international finance, and the rapidly developing overlap area between the two. Researchers in these areas, and financial market professionals too, pay attention to the articles that the journal publishes. Authors published in the journal are in the forefront of scholarly research on exchange rate behaviour, foreign exchange options, international capital markets, international monetary and fiscal policy, international transmission and related questions.