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Bond Market Emergence

Author

Listed:
  • Jan Hanousek

    (Jan Hanousek, PO Box 882, Politických vězňů 7, 111 21 Prague, Czech Republic. Phone: (+420) 224 005 119, Fax: (+420) 224 211 374. E-mail: jan.hanousek@cerge-ei.cz.)

  • Evžen KoÄ enda

    (Evžen KoÄ enda, CERGE-EI, PO Box 882, Politických vÄ›zňů 7, 111 21 Prague, Czech Republic. Phone: (+420) 224 005 149, Fax: (+420) 224 211 374. E-mail: evzen.kocenda@cerge-ei.cz.)

  • Petr ZemÄ Ã­k

    (Petr ZemÄ Ã­k, PO Box 882, Politických vÄ›zňů 7, 111 21 Prague, Czech Republic. Phone: (+420)224 005 154, Fax: (+420) 224 211 374. E-mail: petr.zemcik@cerge-ei.cz.)

Abstract

We analyse the emerging Serbian bond market to compare its behaviour to developed markets and to indicate what is behind bond market emergence. As an analytical tool we model the term structure of the bond market. We find that a modified standard model performs rather well in the environment of an emerging market with numerous imperfections and external shocks involved since we obtain a concave yield curve as in developed markets. Further, we show the link of such a structure to macroeconomic developments in terms of responsiveness of interest rates to changes in industrial production and inflation. Finally, the frequency of trading, market liquidity and transparency can be considered as drivers that make the market emerge.

Suggested Citation

  • Jan Hanousek & Evžen KoÄ enda & Petr ZemÄ Ã­k, 2008. "Bond Market Emergence," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 7(2), pages 141-168, August.
    • Handle: RePEc:sae:emffin:v:7:y:2008:i:2:p:141-168
    DOI: 10.1177/097265270800700202
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    References listed on IDEAS

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    Cited by:

    1. Chris Grose, 2013. "Diversification Opportunities through Fixed-income Managed Funds in Eastern Europe," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 12(1), pages 1-29, April.

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    More about this item

    Keywords

    Government bonds; term structure; yield curve; macroeconomics fundamentals; emerging market; Serbia; JEL Classification: C53; JEL Classification: E43; JEL Classification: E44; JEL Classification: G15; JEL Classification: P43;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • P43 - Political Economy and Comparative Economic Systems - - Other Economic Systems - - - Finance; Public Finance

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