این مقاله علمی پژوهشی (ISI) به زبان انگلیسی از نشریه الزویر مربوط به سال ۲۰۲۱ دارای ۶ صفحه انگلیسی با فرمت PDF می باشد در ادامه این صفحه لینک دانلود رایگان مقاله انگلیسی و بخشی از ترجمه فارسی مقاله موجود می باشد.
کد محصول: H698
سال نشر: ۲۰۲۱
نام ناشر (پایگاه داده): الزویر
نام مجله: Finance Research Letters
نوع مقاله: علمی پژوهشی (Research articles)
تعداد صفحه انگلیسی: ۶ صفحه PDF
عنوان کامل فارسی:
مقاله انگلیسی ۲۰۲۱ : شوک COVID-19 و نرخ بهره بلند مدت در اقتصادهای نوظهور بازار
عنوان کامل انگلیسی:
The COVID-19 shock and long-term interest rates in emerging market economies
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Motivated by a divergent behavior of long-term sovereign bond yields across emerging market economies in the onset of the COVID-19 pandemic, we employ the Bayesian model averaging to uncover the country-specific factors that explain those differences. The most pronounced determinants of a country’s vulnerability to the COVID-19 shock were: (a) low GDP dynamics and (b) high sensitivity of bond yields to VIX in the period preceding the pandemic. Our results speak to the role of growth fundamentals in building-up the exposure to crises in emerging markets. They also signify a persistent differentiation of emerging economies by international investors.
Keywords: COVID-19, Emerging market economies, Bond markets, Global risk, Bayesian model averaging
As the COVID-19 shock struck the world in the first quarter of 2020, the effects of the pandemic quickly manifested in financial markets (Goodell, 2020). Amidst worsening prospects of economic growth, the expected downturn in international trade, and general fears of a slowdown in the pace of globalization, investors shed risky assets and flew to safety. This tendency had an immediate impact on sovereign bond markets in emerging economies, changing the valuation of domestic assets. It also led to a hike in market interest rates, most notably long-term rates, one of the most important benchmarks for market participants and policymakers.
However, the theme of an abrupt reaction of long-term interest rates to global shocks periodically reoccurs in EMEs, especially since more of them began issuing large fractions of public debt securities in domestic currencies (Du and Schreger, 2016; Aizenman et al., 2020). The susceptibility of bond markets in EMEs to external factors was vividly exemplified by the taper tantrum episode of 2013 when the Federal Reserve announced the withdrawal of quantitative easing and triggered sell-offs in several important bond markets (Miyajima et al., 2015). There is now accumulating evidence on the lasting role of various global and domestic factors for portfolio capital flows to EMEs (Koepke, 2019), as well as international spillovers to those markets (Arezki and Liu, 2020). The most recent literature looks into the effects of the COVID-19 pandemic on bond markets and long-term interest rates in EMEs. Studies show that in the first half of 2020, EMEs were generally more vulnerable to capital outflows than advanced economies, while sovereign bond yields were affected more heavily than stock or foreign exchange markets (Beirne et al., 2020)…
This paper aimed to investigate the effects of the financial shock brought about by the COVID-19 pandemic for long-term interest rates in 23 major EMEs. Those effects turned out to be highly divergent across economies and called for an exploration of factors that explain such dissimilarities. Using model averaging methods, we find that the most pronounced determinants of a country’s vulnerability to the COVID-19 shock were: low GDP dynamics and high sensitivity of sovereign bond yields to VIX in the period preceding the pandemic. Our results confirm the role of growth fundamentals in building-up the exposure to crises in EMEs and the persistent differentiation of economies by global investors, based on the past resilience of a country’s bond markets to external risk-off shocks. In this study, we have not examined an important link between exchange rates and financial flows, potential cross-country contagion effects, as well as the policy responses to the COVID-19 shock in EMEs. All of those areas warrant further research.
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