Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/313320 
Year of Publication: 
2024
Citation: 
[Journal:] Journal of Capital Markets Studies (JCMS) [ISSN:] 2514-4774 [Volume:] 8 [Issue:] 2 [Year:] 2024 [Pages:] 195-211
Publisher: 
Emerald, Bingley
Abstract: 
Purpose - To examine the relationship between the term structure of interest rates of sovereign bonds in emerging nations and their macroeconomic indicators, specifically emphasizing its persistence and interaction with inflation, foreign exchange and fiscal conditions. Design/methodology/approach - Adopting the Mean Group Instrumental Variables (MGIV) technique, as proposed by Cui et al. (2020) and Norkute et al. (2021), this study analyzes a monthly panel dataset from nine emerging economies spanning January 2010 to October 2021, totaling 1,278 observations. Findings - The findings reveal significant persistence in both slope and curvature, with a rising yield level linked to the term structure's flattening, while shifts in inflation and exchange rates correlate with its steepening. Originality/value - Our study is among the few which used an empirically constructed measure of the term structure of interest instead of a theoretical construct. To best our knowledge, we are the first to employ MGIV.
Subjects: 
Curvature
Financial stability
Mean group instrumental variables
Panel econometric
Slope
Term structure of interest
JEL: 
C23
E43
E44
E52
F31
G12
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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