2017-03-01
Frontier and emerging government bond markets
Publication
Publication
Emerging Markets Review , Volume 30 p. 232- 255
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.
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| doi.org/10.1016/j.ememar.2015.10.002, hdl.handle.net/1765/98870 | |
| Emerging Markets Review | |
| Organisation | Department of Business Economics |
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Piljak, V. (Vanja), & Swinkels, L. (2017). Frontier and emerging government bond markets. Emerging Markets Review, 30, 232–255. doi:10.1016/j.ememar.2015.10.002 |
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