Correlations in Emerging Market Bonds : The Role of Local and Global Factors

This paper examines the comovement in emerging market bond returns and disentangles the influence of external and domestic factors. The conceptual framework, set in the context of asset allocation, allows us to describe the channels through which shocks originating in a particular emerging or mature...

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Main Author: Hamann, A. Javier
Other Authors: Bunda, Irina, Lall, Subir
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 2010, 2010
Series:IMF Working Papers; Working Paper
Subjects:
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Summary:This paper examines the comovement in emerging market bond returns and disentangles the influence of external and domestic factors. The conceptual framework, set in the context of asset allocation, allows us to describe the channels through which shocks originating in a particular emerging or mature market are transmitted across countries and markets. We show that using a simple measure of cross-country correlations together with the commonly used average correlation coefficient can be more informative during episodes of heightened market instability. Data for the period 1997-2008 are analyzed for evidence of true contagion and common external shocks
Physical Description:27 p.
ISBN:1451961774
9781451961775