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Macroeconomic fundamentals, price discovery, and volatility dynamics in emerging bond markets |
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| Authors: | Sylwia Nowak Jochen Andritzky |
| Institution: | a Asia and Pacific Department, International Monetary Fund, 700 19th Street N.W., Washington, DC 20431, USA b Fiscal Affairs Department, International Monetary Fund, 700 19th Street N.W., Washington, DC 20431, USA c Monetary and Capital Markets Department, International Monetary Fund, 700 19th Street N.W., Washington, DC 20431, USA d Research Department, International Monetary Fund, 700 19th Street N.W., Washington, DC 20431, USA |
| Abstract: | This study characterizes volatility dynamics in external emerging bond markets and examines how prices and volatility respond to macroeconomic news. As in mature bond markets, surprises about macroeconomic conditions in emerging markets are found to affect both conditional returns and volatility of external bonds, with the effects on volatility being more pronounced and longer lasting than those on prices. Yet the process of information absorption tends to be more drawn-out than in mature bond markets. Global and regional macroeconomic news is at least as important as local news for both price and volatility dynamics. |
| Keywords: | E44 G14 |
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