International portfolio bond spillovers

被引：2
|
作者：
Ceballos, Luis [1 ]
Romero, Damian [2 ]
机构：
[1] Univ San Diego, Knauss Sch Business, 5998 Alcala Pk, San Diego, CA 92110 USA
[2] Cent Bank Chile, Financial Res Unit, Santiago, Chile
来源：
ECONOMICS LETTERS | 2022年 / 220卷
关键词：
Spillovers; Portfolio bonds; Financial conditions; International finance; INTEREST-RATES; POLICY;
D O I：
10.1016/j.econlet.2022.110847
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We analyze spillovers of financial conditions on international portfolio bond flows. We document significant US financial conditions spillovers using data from developed and emerging countries. To disentangle the nature of spillovers, we rely on panel spatial autoregressive models, and third market competition on global trade flows to capture direct and indirect effects. We find that 30% of US spillovers are due to indirect effects in mutual funds with a regional-target investment focus.(c) 2022 Elsevier B.V. All rights reserved.
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页数：7
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