Effect of Macroprudential Policies on Sovereign Bond Markets: Evidence from the ASEAN-4 Countries / Joshua Aizenman, Gazi Salah. Uddin, Tianqi Luo, Ranadeva Jayasekera, Donghyun Park.

Format:

Book

Author/Creator:

Aizenman, Joshua.

Contributor:

National Bureau of Economic Research.

Uddin, Gazi Salah.

Luo, Tianqi.

Jayasekera, Ranadeva.

Park, Donghyun.

Series:

Working Paper Series (National Bureau of Economic Research) no. w30477.

NBER working paper series no. w30477

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2022.

Summary:

This paper examines whether prudential policies help to reduce sovereign bond vulnerability to global spillover risk in ASEAN-4 countries (Indonesia, Malaysia, the Philippines, and Thailand). We measure sovereign vulnerability within a risk connectedness network among sovereign bonds. The direct effect is that markets with tighter prudential policies have significantly smaller spillovers from the Treasury yield shocks of other regional and global economies. The sum of indirect and direct effects indicates that prudential policies reduce sovereign spillover risk in the long term. These findings suggest prudential policies have dual efficiency in sovereign risk regulation and Treasury internationalization.

Notes:

Print version record

September 2022.