연구정보
[경제] Effect of Macroprudential Policies on Sovereign Bond Markets: Evidence from the ASEAN-4 Countries
말레이시아 / 인도네시아 / 태국 / 필리핀 국외연구자료 연구보고서 - NBER 발간일 : 2022-09-27 등록일 : 2022-10-12 원문링크
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.
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