| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5570 |
| DP5570 Price-Level Determination Under Dispersed Information and Monetary Policy | |
| Kosuke Aoki | |
| 发表日期 | 2006-03-24 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | Drawing on a newly-collected data set on bond yields, macroeconomic variables, and news of various categories for a panel of emerging markets, we provide the first comparative analysis of the determinants of sovereign bond spreads in the first era of financial globalization and bond finance (1870-1913) and today (1994-2002). We find that news about wars or episodes of politically-motivated violence are a significant and robust determinant of spreads; fiscal variables also play a role; in contrast, news about institutional reforms seldom have a rapid and significant impact. There are also important differences between the two eras: country-specific fundamentals account for a greater share of variation in spreads during the pre-WWI period than today. |
| 主题 | Financial Economics |
| 关键词 | Emerging markets Financial globalization Bond yields |
| URL | https://cepr.org/publications/dp5570 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534436 |
| 推荐引用方式 GB/T 7714 | Kosuke Aoki. DP5570 Price-Level Determination Under Dispersed Information and Monetary Policy. 2006. |
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