The structure and degree of dependence in government bond markets
Dimic, Nebojsa; Piljak, Vanja; Swinkels, Laurens; Vulanovic, Milos (2021)
Dimic, Nebojsa
Piljak, Vanja
Swinkels, Laurens
Vulanovic, Milos
Elsevier
2021
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi-fe2021083044619
https://urn.fi/URN:NBN:fi-fe2021083044619
Kuvaus
vertaisarvioitu
© 2021 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY licence (http://creativecommons.org/licenses/by/4.0/).
© 2021 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY licence (http://creativecommons.org/licenses/by/4.0/).
Tiivistelmä
Our study provides new evidence on asymmetric dependencies in international government bond markets, by examining bonds from developed, emerging, and frontier countries, using a quantile regression methodology. We find that the dependence structure for emerging and frontier markets significantly changes during financial crisis periods, which we show has important implications for international diversification of investment strategies. Moreover, we also examine in detail stock–bond correlations and uncover several instances of decoupling. In contrast, developed markets exhibit a more stable dependence pattern. In addition, we document that the degree and structure of dependence vary when foreign currencies are hedged or unhedged, and across bond maturity segments.
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