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来源类型Working Paper
规范类型报告
DOI10.3386/w23628
来源IDWorking Paper 23628
The Effects of U.S. Monetary Policy on Emerging Market Economies' Sovereign and Corporate Bond Markets
John D. Burger; Francis E. Warnock; Veronica Cacdac Warnock
发表日期2017-07-31
出版年2017
语种英语
摘要We analyze the effect of the US Federal Reserve’s monetary policy on EME sovereign and corporate bond markets by focusing on two dimensions: the evolution of the structure (size and currency composition) of the bond markets and their allocations within the bond portfolios of US investors. Global factors, particularly the level of long-term US Treasury yields, matter. Across all specifications, when US long-term interest rates were low (i) EMEs issued more sovereign and private-sector local currency bonds and more private-sector foreign currency bonds and (ii) US investment in EME sovereign bonds (both local currency and USD-denominated) increased. In contrast, after controlling for the level of US long-term interest rates, measures that attempt to isolate the effects of US unconventional monetary policy are often statistically insignificant in our analysis. Local factors matter too: The local currency government bond markets in countries with stronger regulatory quality/creditor rights are larger and attract relatively more US investment. Finally, consistent with Burger et al. (2017), we find that the well-known home bias phenomenon is at least in part a home currency bias: US investors exhibit no home bias against some countries’ USD-denominated bonds, whereas for local currency bonds the familiar home bias is very present.
主题International Economics ; International Factor Mobility ; International Finance ; Financial Economics ; Financial Markets
URLhttps://www.nber.org/papers/w23628
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/581302
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John D. Burger,Francis E. Warnock,Veronica Cacdac Warnock. The Effects of U.S. Monetary Policy on Emerging Market Economies' Sovereign and Corporate Bond Markets. 2017.
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