2012年-IMF国际货币组织全球_Bond_Yields_in_Emerging_Economies_It_Matters_What_State_You_Are_In_25页_835kb

Summary of "Bond Yields in Emerging Economies: It Matters What State You Are In"

Core Content

This IMF Working Paper by Laura Jaramillo and Anke Weber examines the determinants of domestic bond yields in emerging economies, focusing on how fiscal variables influence these yields and how this relationship is affected by global risk aversion, measured by the VIX index. The paper fills a gap in the literature by analyzing domestically issued bonds, which have become increasingly important for emerging economies.

Main Contributions

• The paper constructs a novel high-frequency panel dataset covering 26 emerging economies from 2005 to 2011, including market expectations of fiscal variables, inflation, and real GDP growth.
• It introduces a panel threshold model to assess how the impact of fiscal variables on domestic bond yields changes with global risk aversion.
• This is the first application of a panel threshold model to the study of domestic bond yields in emerging markets.

Key Findings

1. Fiscal Variables and Global Risk Aversion

• During tranquil global market conditions (low VIX):
  • Domestic bond yields are mainly influenced by inflation expectations and real GDP growth expectations.
  • Fiscal variables (public debt and fiscal deficit) have less impact on yields.
• During periods of high global risk aversion (high VIX):
  • Fiscal variables (public debt and fiscal deficit) become more significant in determining domestic bond yields.
  • A 1 percentage point increase in the expected debt-to-GDP ratio raises domestic bond yields by 6 basis points.
  • A 1 percentage point worsening in the expected fiscal balance-to-GDP ratio increases yields by 30 basis points.

2. Market Characteristics and Trends

• Domestic debt markets in emerging economies have grown significantly since the mid-1990s, with local currency financing becoming a major source of government funding.
• By 2011, domestic debt accounted for ~85% of total government debt, up from ~67% in 2000.
• Domestic government securities make up the bulk of domestic debt, reaching ~27% of GDP.
• Foreign investors have increasingly shown interest in emerging market local currency bonds, especially with lower global interest rates.

3. Market Volatility and Global Factors

• Sovereign domestic bond yields have shown considerable volatility across countries, particularly during the financial crisis.
• Global risk aversion, as measured by the VIX, has a significant effect on market differentiation and yield volatility.
• Global liquidity, proxied by the U.S. 10-year bond yield, also influences domestic bond yields.

4. Empirical Model and Results

• The basic fixed effects model includes fiscal variables, inflation, real GDP growth, monetary policy rates, and foreign capital flows.
• Results suggest that fiscal variables have a smaller impact on yields during low VIX periods and a larger impact during high VIX periods.
• Inflation expectations are a strong positive determinant of yields, while real GDP growth expectations are a negative determinant.
• Capital inflows and stock market sensitivity are not significant in the model, though their exclusion reduces the overall fit.

5. Threshold Estimation

• The estimated VIX threshold is 25.56, which splits the sample into low and high risk aversion regimes.
• In the low risk aversion regime, inflation and GDP growth are the main drivers of yields.
• In the high risk aversion regime, fiscal variables dominate, with debt-to-GDP and fiscal balance-to-GDP showing the largest effects.
• The Supremum Wald-test confirms the statistical significance of the threshold value, with a p-value of 0.018.

Policy Implications

• Emerging economies should maintain fiscal prudence even in favorable global conditions, as market sentiment can shift rapidly.
• Fiscal fundamentals are more relevant in times of market stress, and thus monitoring and managing fiscal risks becomes critical.
• The role of global risk aversion in shaping domestic bond yields highlights the importance of understanding and responding to global financial conditions in policy-making.

Conclusion

The paper demonstrates that fiscal variables influence domestic bond yields in emerging economies, but the magnitude of this influence depends on the level of global risk aversion. The findings underscore the importance of fiscal discipline and the need for policymakers to be aware of global market conditions when assessing bond market risks and financing costs.