Measuring Sovereign Bond Market Integration

• 成果类型: Article
• 署名作者: Chaieb, Ines; Errunza, Vihang; Brandon, Rajna Gibson
• 署名单位: University of Geneva; University of Geneva; McGill University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz107
• 发表日期: 2020
• 页码: 3446
• 关键词: EXPECTED RETURNS; term structure; Yield spreads; RISK; determinants; fundamentals; liquidity; STOCK; uncertainty; DYNAMICS

摘要

We find that the degree and dynamics of sovereign bond market integration across 21 developed and 18 emerging countries is significantly heterogeneous. We show that better spanning can significantly enhance market integration through dissipating local risk premiums. Integration of the sovereign bond markets increases by about 10% on average, when a country moves from the 25th to the 75th percentile as a result of higher political stability and credit quality, lower inflation and inflation risk, and lower illiquidity. The 10% increase in integration leads to, on average, a decrease in the sovereign cost of funding of about 1% per annum.