TY - JOUR
T1 - Frontier and Emerging Government Bond Markets
AU - Piljak, V
AU - Swinkels, Laurens
N1 - JEL classification: G11, G12, G15
PY - 2017/3
Y1 - 2017/3
N2 - 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.
AB - 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.
U2 - 10.1016/j.ememar.2015.10.002
DO - 10.1016/j.ememar.2015.10.002
M3 - Article
SN - 1566-0141
VL - 30
SP - 232
EP - 255
JO - Emerging Markets Review
JF - Emerging Markets Review
ER -