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Sovereign bond yields in emerging Asia: New evidence

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  • Thi-Hong-Hanh Pham

    (LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - IEMN-IAE Nantes - Institut d'Économie et de Management de Nantes - Institut d'Administration des Entreprises - Nantes - UN - Université de Nantes)

Abstract

This paper studies the determinants of sovereign bond yields in nine emerging Asian countries over the period 1994-2012. In the long-run, we first reveal that sovereign bond yields weakly and negatively depends on the changes in public debt. This result is not consistent with the theoretical hypothesis that rising government debt may foster sovereign bond yields through the default risk. Second, we fail to find out a long-run relationship between potential economic growth and sovereign borrowing costs in emerging Asia. Lastly, this paper evidences the preliminary interventions of emerging Asian authorities in separating government debt management from monetary management.

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  • Thi-Hong-Hanh Pham, 2014. "Sovereign bond yields in emerging Asia: New evidence," Working Papers hal-01012093, HAL.
    • Handle: RePEc:hal:wpaper:hal-01012093
    Note: View the original document on HAL open archive server: https://hal.science/hal-01012093
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    Cited by:

    1. Asian Development Bank Institute, 2017. "Asia Bond Monitor - June 2016," Working Papers id:11793, eSocialSciences.
    2. André Pinho & Ricardo Barradas, 2021. "Determinants of the Portuguese government bond yields," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2375-2395, April.
    3. Asian Development Bank (ADB) & Asian Development Bank (ADB) & Asian Development Bank (ADB) & Asian Development Bank (ADB), 2016. "Asia Bond Monitor - June 2016," ADB Reports RPS168158-2, Asian Development Bank (ADB).

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    Keywords

    Panel analysis; Debt market; Sovereign bond yields; Emerging Asia; Panel analysis.;
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