Emerging Bond Market Volatility and Country Spreads
- Authors
- Won, Seungyeon; Yun, Young Sup; Kim, Byoung Joon
- Issue Date
- 1월-2013
- Publisher
- ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
- Keywords
- country spread; sovereign bonds; T-GARCH model; volatility
- Citation
- EMERGING MARKETS FINANCE AND TRADE, v.49, no.1, pp.82 - 100
- Indexed
- SSCI
SCOPUS
- Journal Title
- EMERGING MARKETS FINANCE AND TRADE
- Volume
- 49
- Number
- 1
- Start Page
- 82
- End Page
- 100
- URI
- https://scholar.korea.ac.kr/handle/2021.sw.korea/104329
- DOI
- 10.2753/REE1540-496X490105
- ISSN
- 1540-496X
- Abstract
- Using JPMorgan's emerging market bond index, this paper analyzes how increases in country credit spreads can persist in emerging bond markets. The results of T-GARCH regressions show that, during financial crisis periods, emerging countries' credit spreads may increase persistently as a result of interaction between changes in spreads and volatilities, making emerging bond markets more turbulent. The results suggest that emerging countries should endeavor to develop a stabilization mechanism by enhancing information efficiency in bond markets. In particular, because Asian countries have experienced persistent, overreactive volatility, this paper implies that Asian countries should work together more closely during financial crisis periods.
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Collections - Korea University Business School > Department of Business Administration > 1. Journal Articles
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