This paper examines the co-movement dynamics of ten emerging and four frontier government bond markets with the US market and the impact of macroeconomic factors and global bond market uncertainty on the time-varying co-movement. We find that macroeconomic factors play important role in explaining time variations in the bond return co-movement. Specifically, domestic macroeconomic factors have higher relative importance than global factors, with domestic monetary policy and domestic inflationary environment identified as the most influential factors.

The global bond market uncertainty, based on an implied volatility measure, has explanatory power in driving co-movement dynamics in emerging and frontier bond markets. If you experience problems downloading a file, check if you have the proper application to view it first.

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Full text for ScienceDirect subscribers only As the access to this document is restricted, you may want to look for a different version under "Related research" further below or search for a different version of it. Bibliographic Info Article provided by Elsevier in its journal Emerging Markets Review.

Emerging market bonds ; Macroeconomic factors ; Bond market co-movement ; Bond market uncertainty ; Find related papers by JEL classification: F30 - International Economics - - International Finance - - - General G15 - Financial Economics - - General Financial Markets - - - International Financial Markets References References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Vo, Xuan Vinh, An alternative measure and its application ," Journal of Financial Economics , Elsevier, vol.

Is there segmentation between geographical areas? Evidence from a dynamic factor model with time-varying parameters ," Economics Letters , Elsevier, vol. A Case Study for Central America ," World Bank Economic Review , World Bank Group, vol.

A three-dimensional analysis ," Global Finance Journal , Elsevier, vol. The role of local and global factors ," Emerging Markets Review , Elsevier, vol. Full references including those not matched with items on IDEAS Citations Citations are extracted by the CitEc Project , subscribe to its RSS feed for this item.

The Co‐Movement Dynamics of European Frontier Stock Markets by Jarno Kiviaho, Jussi Nikkinen, Vanja Piljak, Timo Rothovius :: SSRN

Diversification and stability ," Emerging Markets Review , Elsevier, vol. A quantile regression approach ," Emerging Markets Review , Elsevier, vol. A quantile regression approach ," Working Papers , Department of Research, Ipag Business School. Eastern European experiences ," Emerging Markets Review , Elsevier, vol.

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Log in now much improved! Bond markets co-movement dynamics and macroeconomic factors: Evidence from emerging and frontier markets. Author info Abstract Bibliographic info Download info Related research References Citations Lists Statistics Corrections.

Article provided by Elsevier in its journal Emerging Markets Review. HTML HTML with abstract plain text plain text with abstract BibTeX RIS EndNote, RefMan, ProCite ReDIF JSON in new window. F30 - International Economics - - International Finance - - - General G15 - Financial Economics - - General Financial Markets - - - International Financial Markets.

Bond markets co-movement dynamics and macroeconomic factors: Evidence from emerging and frontier markets

References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Full references including those not matched with items on IDEAS. Citations are extracted by the CitEc Project , subscribe to its RSS feed for this item. This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

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