Academic Journal
Frontier and Emerging Government Bond Markets
| العنوان: | Frontier and Emerging Government Bond Markets |
|---|---|
| المؤلفون: | Piljak, V, Swinkels, Laurens |
| المصدر: | Piljak , V & Swinkels , L 2017 , ' Frontier and Emerging Government Bond Markets ' , Emerging Markets Review , vol. 30 , pp. 232-255 . https://doi.org/10.1016/j.ememar.2015.10.002 |
| سنة النشر: | 2017 |
| الوصف: | We investigate correlation dynamics and diversification properties of US dollar-denominated debt issued by governments of frontier markets. Our analysis is on the aggregate, regional, and country level, with a sample covering 29 countries over the period 2001–2013. We show that the correlation between the returns of frontier government bond markets and US government bonds is time-varying, but on average close to zero. Correlations with US investment grade corporate bonds, US corporate high yield bonds, and US dollar-denominated debt issued by governments of emerging markets are substantially higher, which limits diversification benefits for investors who already own these asset classes. |
| نوع الوثيقة: | article in journal/newspaper |
| اللغة: | English |
| DOI: | 10.1016/j.ememar.2015.10.002 |
| الاتاحة: | https://pure.eur.nl/en/publications/ce1757b6-622e-49e1-9aee-942a7211af6b https://doi.org/10.1016/j.ememar.2015.10.002 http://hdl.handle.net/1765/98870 |
| Rights: | info:eu-repo/semantics/closedAccess |
| رقم الانضمام: | edsbas.C957BCE3 |
| قاعدة البيانات: | BASE |
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