Impact of international and local conditions on sovereign bond spreads: International evidence

Selma Izadi; M. Kabir Hassan

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Impact of international and local conditions on sovereign bond spreads: International evidence

机译：国际和地方条件对主权债券利差的影响：国际证据

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This paper examines the effect of international and domestic factors on the sovereign bond spreads for 22 developed countries in North America, Europe and Pacific Rim regions. First, for all the regions the impact of global factors on the sovereign bond spreads is more intense than regional factors. Second, the findings confirm that for the bond spreads of each region over its domestic government bonds, the countries’ local fundamentals are better determinants of the spreads compared to the spread over US government bonds as a safe haven. Third, the influence of worldwide factors in the Eurozone compared to other regions bond spreads is less. Fourth, the relationship of the market sentiment and the investor risk aversion with the sovereign bond spreads of all regions is positive. Equity market volatility plays significant role in yield speads in international bond markets. Highlights ? We assess if domestic and global forecasts have impact on sovereign yields. ? We perform a panel analysis of 22 countries followed by a region analysis. ? The regional effect does not make any difference in the regression results. ? The results are slightly different when we compute the yield spreads over the local government bonds. ? Sovereign yield spreads in Eurozone area countries are less exposed to the global factors.

机译：本文研究了国际和国内因素对北美，欧洲和环太平洋地区的22个发达国家的主权债券利差的影响。首先，对于所有区域，全球因素对主权债券利差的影响要比区域因素更为强烈。其次，调查结果证实，与作为避风港的美国政府债券相比，每个地区相对于其本国政府债券的债券利差，都是该国当地基本面的更好决定因素。第三，与其他地区的债券利差相比，欧元区的全球因素的影响较小。第四，市场情绪和投资者风险规避与所有地区主权债券利差的关系是正的。股市波动对国际债券市场收益率的下降起着重要作用。强调？我们评估国内和全球的预测是否对主权收益率产生影响。？我们对22个国家/地区进行了面板分析，然后进行了区域分析。？区域效应对回归结果没有任何影响。？当我们计算地方政府债券的收益率差时，结果略有不同。？欧元区国家的主权收益率差额较少受到全球因素的影响。

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《Borsa Istanbul Review》 |2018年第1期|共11页
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Selma Izadi; M. Kabir Hassan;
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Impact of international and local conditions on sovereign bond spreads: International evidence

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