PL EN


Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
2016 | nr 2(6) | 45--67
Tytuł artykułu

Foreign Investor Flows and Sovereign Bond Yields in Advanced Economies

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
Asset allocation decisions of international investors are at the core of capital flows. This paper explores the impact of these decisions on long-term government bond yields, using a quarterly investor base dataset for 22 advanced economies over 2004-2012. We find that a one percentage point increase in the share of government debt held by foreign investors can explain a 6-10 basis point reduction in long-term sovereign bond yields over the sample period. Accordingly, international flows to core advanced economy bond markets over 2008-12 are estimated to have reduced 10-year government bond yields by 40-65 basis points in Germany, 20-30 basis points in the U.K., and 35-60 basis points in the U.S. Incontrast, foreign outflows are estimated to have raised 10-year government bond yields by 40-70 basis points in Italy and 110-180 basis points in Spain during the same period. These results suggest that changes in the foreign investor base for sovereign debt can have economically and statistically signifi cant effects on sovereign bond yields, independent of other standard macroeconomic determinants of bond yields. (original abstract)
Rocznik
Numer
Strony
45--67
Opis fizyczny
Twórcy
  • International Monetary Fund
  • International Monetary Fund
Bibliografia
  • Acharya, V. and Steffen, S. (2013), "The Greatest Carry Trade Ever? Understanding Eurozone Bank Risks" NBER Working Paper No. 19039, May 2013.
  • Andritzky, J. (2012). "Government Bonds and Their Investors: What Are the Facts and Do They Matter?", IMF Working Paper WP/12/158.
  • Arslanalp, S. and Tsuda, T. (2014). "Tracking Global Demand for Advanced Economy Sovereign Debt." IMF Economic Review, Vol. 62, No. 3, International Monetary Fund, Washington, DC.
  • Baker, S., Bloom, N., and Davis, S. (2013). "Measuring Economic Policy Uncertainty", Stanford University Working Paper, available at: http://www.policyuncertainty.com/papers.html.
  • Bernanke, B. (2005). "The Global Saving Glut and the U.S. Current Account Deficit", The Homer Jones Lecture St. Louis, Missouri.
  • Bernanke, B. (2013). "Long-Term Interest Rates", Remarks at the Annual Monetary and Macroeconomics Conference: The Past and Future of Monetary Policy, sponsored by the Federal Reserve Bank of San Francisco, San Francisco, California, March 1, 2013
  • Bernanke, B., Reinhart, V., Sack, B. (2004). "Monetary Policy Alternatives at the Zero Bound: An Empirical Assessment", Brookings Papers on Economic Activity, 35: pp. 1-100.
  • Beltran, D., Kretchmer, M., Marquez, J., and Thomas, C. (2012). "Foreign Holdings of U.S. Treasuries and U.S. Treasury Yields", Federal Reserve Board, Washington D.C.
  • Bloom, N. (2009). "The Impact of Uncertainty Shocks", Econometrica, 77 (3): pp. 623-85.
  • Borensztein, E., Cowan, K., Eichengreen, B., Panizza, U. (2008). "Prospects for Latin American Bond Markets: A Cross-Country View", in: Borensztein, Cowan, Eichengreen, Panizza (Eds.), Bond Markets in Latin America: On the Verge of a Big Bang? MIT Press, Cambridge, MA.
  • Broner, F., A. Erce, A. Martin, and Ventura, J. (2013). "Sovereign Debt Markets in Turbulent Times: Creditor Discrimination and Crowding-Out Effects," NBER Working Paper Series No. 19676.
  • Burger, J., and Warnock, F. (2006). "Local Currency Bond Markets", IMF Staff Papers, 53: pp. 133-146.
  • Caporale, G. and Williams, G. (2002). "Long-Term Nominal Interest Rates and Domestic Fundamentals", Review of Financial Economics,15: pp. 370-413.
  • Claessens, S., Klingebiel, D., and Schmuckler, S. (2007). "Government Bonds in Domestic and Foreign Currency: The Role of Macroeconomic and Institutional Factors", Review of International Economics, 15: pp. 370-413.
  • Correia-Nunes, J. and Stemitsiotis, L. (1995). "Budget Deficit and Interest Rates: Is There a Link? International Evidence", Oxford Bulletin of Economics and Statistics,57(4): pp. 425-49.
  • Cottarelli, C. and Jaramillo, L. (2012). "Walking Hand in Hand: Fiscal Policy and Growth in Advanced Economies", IMF Working Paper WP/12/137.
  • Dell'Erba, S., Hausmann, R., and Panizza, U. (2013). "Debt Levels, Debt Composition, and Sovereign Spreads in Emerging and Advanced Economies", Oxford Review of Economic Policy (forthcoming).
  • Eichengreen, B., and Luengnaruemitchai, P. (2004). "Why Doesn't Asia Have Bigger Bond Markets?", NBER Working Paper 10576. National Bureau of Economic Research, Cambridge, MA.
  • Engen, E. and Hubbard, G. (2004). "Federal Government Debt and Interest Rates", NBER Macroeconomic Annual, 19: pp. 83-138.
  • Forslund, K., Lima, L., and Panizza, U. (2011). "The Determinants of the Composition of Public Debt in Developing and Emerging Market Countries", Review of Development Finance, 1: pp. 207-222.
  • Hauner, D. and Kumar, M. (2006), "Fiscal Policy and Interest Rates--How Sustainable Is the New Economy?" IMF Working Paper No. 06/112, May 2006.
  • Hördahl, P., Tristani, O. and Vestin, D. (2006). "A Joint Econometric Model of Macroeconomic and Term-Structure Dynamics", Journal of Econometrics, 131 (1-2): pp. 405-444.
  • Ichiue, H. and Shimizu, Y. (2012). "Determinants of Long-term Yields: A Panel Data Analysis of Major Countries and Decomposition of Yields of Japan and the U.S.", Bank of Japan Working Paper, No. 12-E 7.
  • IMF (2011). Global Financial Stability Report, October 2011, IMF, Washington D.C.
  • IMF (2012a). Fiscal Monitor, October 2012, IMF, Washington D.C.
  • IMF (2012b). Global Financial Stability Report, October 2012, IMF, Washington D.C.
  • IMF (2013a). "Unconventional Monetary Policies-Recent Experience and Prospects," April 2013, IMF, Washington D.C.
  • IMF (2013b). "Staff Guidance Note for Public Debt Sustainability Analysis in Market-Access Countries," May 2013, IMF, Washington D.C. (available at: http://www.imf.org/external/pubs/ft/dsa/mac.htm).
  • IMF (2013c). Fiscal Monitor, April 2013, IMF, Washington D.C.
  • Joyce, M., Lasaosa, A., Stevens, I., and Tong, M. (2011). "The Financial Market Impact of Quantitative Easing in the United Kingdom," International Journal of Central Banking, 7(3): pp. 113-161.
  • Jaramillo, L., and Zhang, Y. (2013). "Real Money Investors and Sovereign Bond Yields", IMF Working Paper No. 13/254, December 2013
  • Kaminska, I., Vayanos D., and Zinna, G. (2011) "Preferred-habitat investors and the US term structure of real rates", Bank of England Working Paper No. 435.
  • Krishnamurthy, A. and Vissing-Jorgensen, A. (2011). "The Effects of Quantitative Easing on Interest Rates," Brooking Papers on Economic Activity, 43(2): pp. 215-287.
  • Krishnamurthy, A., and Vissing-Jorgensen, A. (2012). "The Aggregate Demand for Treasury Debt," Journal of Political Economy, 2012, vol. 120, no. 2.
  • Kumar, M., and Baldacci E. (2010), "Fiscal Deficits, Public Debt, and Sovereign Bond Yields" IMF Working Paper No. 10/184, August 2010.
  • Lam, R. (2013). "What Would Happen to Long-Term Interest Rates in Japan Under "Abenomics"?" paper presented at the IMF Surveillance Meeting, April 30, Washington, D.C.
  • Laubach, T. (2009). "New Evidence on the Interest Rate Effects of Budget Deficits and Debt", Journal of European Economic Association, 7: pp. 858-85.
  • Mehl, A. and Reynaud, J. (2010). "Risky Public Domestic Debt Composition in Emerging Economies", Journal of International Money and Finance, 29: pp. 1-18.
  • Panizza, U. (2008). "Domestic and External Public Debt in Developing Countries", UNCTAD Discussion Paper. United Nations Conference on Trade and Development, Geneva.
  • Peiris, S. (2010). "Foreign Participation in Emerging Markets' Local Currency Bond Markets", IMF Working paper WP/10/88.
  • Poghosyan, T. (2012). "Long-Run and Short-Run Determinants of Sovereign Bond Yields in Advanced Economies" IMF Working Paper No. 12/271.
  • Rudebusch, G., Swanson, E., and Wu, T. (2006). "The Bond Yield "Conundrum« from a Macro-Finance Perspective«, Monetary and Economic Studies, 24(S1): pp. 83-109.
  • Ueda, K. (2012). "The Effectiveness of Non-traditional Monetary Policy Measures: the Case of the Bank of Japan," The Japanese Economic Review, 63(1): pp. 1-22.
  • Warnock F., and Warnock, V. (2009). "International Capital Flows and U.S. Interest Rates," Journal of International Money and Finance, 28(6): pp. 903-919.
Typ dokumentu
Bibliografia
Identyfikator YADDA
bwmeta1.element.ekon-element-000171440400

Zgłoszenie zostało wysłane

Zgłoszenie zostało wysłane

Musisz być zalogowany aby pisać komentarze.
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.