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In this book, insight into characteristics of
international government bond markets is provided by
identifying the relative effects of domestic and
global factors in the determination of yields and by
extracting volatility linkages on both a regional and
a global scale. For the East European region,
domestic factors are found to be much more important
in explaining bond yields whereas for the Asian and
EU regions, both sets of factors are important in
explaining the changes in yields.
Volatility transmission is less pronounced at a
cross-regional level than at a within region level,
an indication that international bond markets are
relatively segmented.
This study contributes to existing literature by a)
Developing a new model for determining the relative
weights of domestic and global factors in explaining
domestic bond yields, and b) Exploring the unique
characteristics of government bond markets at a
regional level,
The results of this study carry important
implications for policymakers and international
investors by providing assistance in possibly
lowering government borrowing costs and by
identifying diversification gains, respectively.
international government bond markets is provided by
identifying the relative effects of domestic and
global factors in the determination of yields and by
extracting volatility linkages on both a regional and
a global scale. For the East European region,
domestic factors are found to be much more important
in explaining bond yields whereas for the Asian and
EU regions, both sets of factors are important in
explaining the changes in yields.
Volatility transmission is less pronounced at a
cross-regional level than at a within region level,
an indication that international bond markets are
relatively segmented.
This study contributes to existing literature by a)
Developing a new model for determining the relative
weights of domestic and global factors in explaining
domestic bond yields, and b) Exploring the unique
characteristics of government bond markets at a
regional level,
The results of this study carry important
implications for policymakers and international
investors by providing assistance in possibly
lowering government borrowing costs and by
identifying diversification gains, respectively.