Analyzing determinants of foreign credit demand for sovereign bonds

dc.contributor.authorSilva, Victor Hugo C. Alexandrino da
dc.contributor.authorDrzeviechi, Maria Clara
dc.contributor.authorGarcia, Gabriella
dc.contributor.authorNetto, Augusto A. S.
dc.coverage.paisNão Informadopt_BR
dc.creatorSilva, Victor Hugo C. Alexandrino da
dc.creatorDrzeviechi, Maria Clara
dc.creatorGarcia, Gabriella
dc.creatorNetto, Augusto A. S.
dc.date.accessioned2024-02-16T17:55:11Z
dc.date.available2024-02-16T17:55:11Z
dc.date.issued2021
dc.description.abstractThis paper aims to investigate the economic determinants of foreign credit demand for sovereign bonds in selected emerging and advanced countries. Furthermore, it is an objective to understand what causes a greater impact on this demand: the country’s domestic macroeconomic fundamentals or the external global environment. To this end, using data on share of foreign demand for sovereign bonds, an econometric analysis will be conducted with panel data from 2004 to 2019 for 45 emerging and advanced markets. The main findings show that both domestic fundamentals and the external environment affect the foreign participation in sovereign debt, but results vary depending on the degree of development and the channel through each variable affect our dependent variable. We find that domestic fundamentals seem to be related with the increase in foreign participation for both group of economies, but with different magnitudes and interpretation. For some variables, it is more related to the foreign demand of sovereign bonds and, for others, associated with the bond supply. The degree of development also seems to be important to the external environment. For some variables (US nominal interest rate), the ’search for yield’ plays a major role for the bond demand. But, for others (as the FX volatility and the VIX Index), the global demand is related with foreign investors’ risk aversion. Finally, we found that, in times of global turmoil, domestic fundamentals matter less for foreign attractiveness than in times when the global volatility is low.pt_BR
dc.description.notesProdução vinculada do Insper Conhecimento.pt_BR
dc.format.extent28 p.pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/6427
dc.language.isoInglêspt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DO USUÁRIO VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITOR.pt_BR
dc.subjectSovereign Debtpt_BR
dc.subjectForeign Credit Demandpt_BR
dc.subjectPublic Debtpt_BR
dc.titleAnalyzing determinants of foreign credit demand for sovereign bondspt_BR
dc.typeworking paper
dspace.entity.typePublication
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeWorking Paperpt_BR
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