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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w23628 |
来源ID | Working 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 |
URL | https://www.nber.org/papers/w23628 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/581302 |
推荐引用方式 GB/T 7714 | 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. |
条目包含的文件 | ||||||
文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w23628.pdf(1269KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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