The structure and degree of dependence in government bond markets

Nebojsa Dimic; V Piljak; Laurens Swinkels; Milos Vulanovic

doi:10.1016/j.intfin.2021.101385

The structure and degree of dependence in government bond markets

Nebojsa Dimic, V Piljak^*, Laurens Swinkels, Milos Vulanovic

^*Corresponding author for this work

Business Economics

Research output: Contribution to journal › Article › Academic › peer-review

7 Citations (Scopus)

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Abstract

Our study provides new evidence on asymmetric dependencies in international government bond markets, by examining bonds from developed, emerging, and frontier countries, using a quantile regression methodology. We find that the dependence structure for emerging and frontier markets significantly changes during financial crisis periods, which we show has important implications for international diversification of investment strategies. Moreover, we also examine in detail stock–bond correlations and uncover several instances of decoupling. In contrast, developed markets exhibit a more stable dependence pattern. In addition, we document that the degree and structure of dependence vary when foreign currencies are hedged or unhedged, and across bond maturity segments.

Original language	English
Article number	101385
Journal	Journal of International Financial Markets, Institutions and Money
Volume	74
DOIs	https://doi.org/10.1016/j.intfin.2021.101385
Publication status	Published - 1 Sept 2021

Bibliographical note

Funding Information:
This work was supported by the Waldemar von Frenckells Foundation, Finland.

Funding Information:
We would like to thank the anonymous referee, the editor (Jonathan Batten), Jyri Kinnunen, Dolly King, Ansgar Belke, Matthias Walting, and conference participants of the 17th INFINITI Conference on International Finance, the 7th Paris Financial Management Conference, the 59th Annual Meeting of the Southern Finance Association (SFA), Research Seminar in Economics and Finance at the University of Jyv?skyl?, and the Summer Seminar of Finnish Economists for valuable comments. Vanja Piljak would like to thank the Waldemar von Frenckells Foundation from Finland for financial support.

Publisher Copyright:
© 2021 The Authors

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The structure and degree of dependence in government bond marketsFinal published version, 1.32 MBLicence: CC BY

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title = "The structure and degree of dependence in government bond markets",

abstract = "Our study provides new evidence on asymmetric dependencies in international government bond markets, by examining bonds from developed, emerging, and frontier countries, using a quantile regression methodology. We find that the dependence structure for emerging and frontier markets significantly changes during financial crisis periods, which we show has important implications for international diversification of investment strategies. Moreover, we also examine in detail stock–bond correlations and uncover several instances of decoupling. In contrast, developed markets exhibit a more stable dependence pattern. In addition, we document that the degree and structure of dependence vary when foreign currencies are hedged or unhedged, and across bond maturity segments.",

author = "Nebojsa Dimic and V Piljak and Laurens Swinkels and Milos Vulanovic",

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AU - Piljak, V

AU - Swinkels, Laurens

AU - Vulanovic, Milos

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ER -

The structure and degree of dependence in government bond markets

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