Научный семинар МИЭФ/ФЭН (JM), Kirill Shakhnov (Einaudi Institute for Economics and Finance)
Докладчик: Kirill Shakhnov (Einaudi Institute for Economics and Finance)Тема доклада: "Limited Participation and Local Currency Sovereign Debt"
Тезисы доклада: Governments in emerging countries are increasingly issuing bonds in local currencies and foreign investors’s shares in these markets, once negligible, have been progressively growing. Motivated by these novel facts, we build a model where local investors specialize in local currency bonds and foreign investors in foreign currency bonds. Foreign investors can also invest in local currency bonds, but only after paying a fee. The benefits for foreign investors of entering into the local currency bond market are larger the lower their risk aversion and the lower the short-term interest rates in developed countries. Changes in the distribution of local currency bonds between domestic and foreign bond holders influence the spillovers of foreign shocks to local markets. When we feed actual U.S. interest rates to the model, it predicts the significant increase in foreign holdings of local currency bonds; the reduction in bond yields; and the increase in the correlation between local and foreign currency-denominated bond returns, that we observe in a panel of 16 emerging economies.