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首页> 外文期刊>Macroeconomics and Finance in Emerging Market Economies >Sovereign bond markets and financial stability in an emerging economy: an application of directed acyclic graphs and SVAR models
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Sovereign bond markets and financial stability in an emerging economy: an application of directed acyclic graphs and SVAR models

机译：主权债券市场与新兴经济体的金融稳定性：有向无环图和SVAR模型的应用

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摘要

During the last two decades, domestic government bond markets have developed significantly in emerging economies. Although the financial sector has benefited accordingly, volatility in this market also has posed potential risks in terms of financial stability. This paper uses directed acyclic graphs and structural vector-autoregressive models to evaluate the impact of different shocks on both the public debt market and financial stability. Results suggest that inflation, the policy interest rate and indicators of risk perception are the variables that most affect the slope of the yield curve. In turn, when the slope increases, there is a positive contemporary effect on bank risk indicators.
机译：在过去的二十年中，新兴经济体的国内政府债券市场取得了长足发展。尽管金融业因此受益，但该市场的动荡也对金融稳定构成了潜在风险。本文使用有向无环图和结构矢量-自回归模型来评估不同冲击对公共债务市场和金融稳定性的影响。结果表明，通货膨胀，政策利率和风险感知指标是最影响收益率曲线斜率的变量。反过来，当斜率增加时，则对银行风险指标产生积极的当代影响。

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