#2327. An empirical illustration of the integration of sovereign bond markets

September 2026publication date
Proposal available till 30-05-2025
4 total number of authors per manuscript5020 $

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Journal’s subject area:
Finance;
Economics and Econometrics;
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Abstract:
This article analyses developments in and the determinants of the country-specific dependence of sovereign bond returns on global factors for 41 economies. The dependence is smaller for emerging economies than for advanced economies. Differences in the dependence across economies and over time are attributable to country fixed effects and time-varying factors. These factors include the size and openness of domestic bond markets, the variability of foreign exchange rates, macro-economic policies, and national indebtedness.
Keywords:
Capital control; Global financial cycle; Market integration; Monetary policy; Sovereign bonds

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