Do Local Currency Bond Markets Enhance Financial Stability? Some Empirical Evidence

References

• Aldasoro, I., C. Borio, and M. Drehmann. 2018. Early warning indicators of banking crises: Expanding the family. BIS Quarterly Review, March 2018.
   Google Scholar
• Anh, L. H., L. S. Dong, V. Kreinovich, and N. N. Thach. 2018. Econometrics for financial applications. Springer International Publishing. doi:10.1007/978-3-319-73150-6.
   Google Scholar
• Bae, K.-H., 2012. Determinants of local currency bonds and foreign holdings: Implications for bond market development in the people’s Republic of China. ADB Working Paper Series on Regional Economic Integration, No.97.
   Google Scholar
• Burger, J. D., and E. Francis. 2006. Local currency bond markets. IMF Staff Papers, Vol.53 Special Issue. International Monetary Fund.
   Google Scholar
• Caballero, R., E. Farhi, and P.-O. Gourinchas. 2008. Financial crash, commodity prices, and global imbalances. Brookings Papers on Economic Activity, Fall, 1–55.
   Google Scholar
• Drehmann, M. 2013. 2013. Total credit as an early warning indicator for systemic banking crises. BIS Quarterly Review, June 2013.
   Google Scholar
• Drehmann, M. K., and Tsatsaronis. 2014. The Credit-to-GDP gap and countercyclical capital buffers: Questions and answers. BIS Quarterly Review, March 2014.
   Google Scholar
• Eichengreen, B., R. Hausmann, and U. Panizza. 2005. The pain of original sin. In Other people’s money: Debt denomination and financial instability in emerging-market economies, ed. B. Eichengreen and R. Hausmann, 13–47. Chicago: University of Chicago Press.
   Google Scholar
• Eichengreen, B., A. Rose, and C. Wyplosz. 1996. Contagious currency crises: First tests. Scandinavian Journal of Economics 98 (4):463–84. doi:10.2307/3440879.
   Web of Science ®Google Scholar
• Eichengreen, B., and P. Gupta. 2015. Tapering talk: The impact of expectations of reduced federal reserve security purchases on emerging markets. Emerging Markets Review 25:1–15. doi:10.1016/j.ememar.2015.07.002.
   Web of Science ®Google Scholar
• Eichengreen, B., and R. Hausmann. 1999. Exchange rates and financial fragility. Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, 329–68. doi:10.1002/(SICI)1097-0282(199909)50:3<329::AID-BIP8>3.0.CO;2-4
   Google Scholar
• Giese, J., H. Andersen, O. Bush, C. Castro, M. Farag, and S. Kapadia. 2014. The credit‐to‐GDP gap and complementary indicators for macroprudential policy: Evidence from the UK. International Journal of Finance & Economics 19 (1):25–47. doi:10.1002/ijfe.v19.1.
   Web of Science ®Google Scholar
• Goyenko, R., S. Avanidhar, and U. Andrey. 2011. The term structure of bond market liquidity and its implications for expected bond returns. Journal of Financial and Quantitative Analysis 46 (1):111–39. doi:10.1017/S0022109010000700.
   Web of Science ®Google Scholar
• Hahm, J.-H., H. S. Shin, and K. Shin. August 2013. Non-core bank liabilities and financial vulnerability. Journal of Money, Credit and Banking 45(s1):3–36. doi: 10.1111/jmcb.12035.
   Web of Science ®Google Scholar
• Huotari, J. 2015. Measuring financial stress – A country specific stress index for Finland. Bank of Finland Research Discussion Papers 2015. No.7.
   Google Scholar
• Illing, M., and L. Ying. 2006. Measuring financial stress in a developed country: An application to Canada. Journal of Financial Stability 2:243–65. doi:10.1016/j.jfs.2006.06.002.
   Google Scholar
• Ilzetzki, E., M. Carmen, and K. S. Rogoff. 2017. Exchange rate arrangements entering the 21st century: Which Anchor will hold?. NBER Working Paper No. 23134.
   Google Scholar
• IMF. 2013. The International Financial Statistics (IFS). December 2013. International Monetary Fund.
   Google Scholar
• IMF. 2016. Development of local bond markets: Overview of recent development and key themes. Staff Note for the G20, International Monetary Fund and The World Bank Group.
   Google Scholar
• Jeanneau, S., and C. E. Tovar. 2008. Latin America‘s local currency bond markets: An overview. In New financing trends in Latin America: A bumpy road towards stability46–64. BIS Papers No 36.
   Google Scholar
• Kakes, J., and R. Nijskens. 2018. Size of the Banking Sector: Implications for Financial Stability. Netherlands Central Bank, Research Department, Occasional Studies Volume 16-6.
   Google Scholar
• Kaminsky, G., S. Lizondo, and C. Reinhart. Mar 1998. Leading indicators of currency crises. Staff Papers (International Monetary Fund) 45(1):1–48. doi: 10.2307/3867328.
   Google Scholar
• Kapingura, F., and S. Ikhide. 2011. Econometric determinants of liquidity of the bond market: Case study of South Africa. Working paper presented at African Economic Conference, October 2011, Addis Ababa, Ethiopia.
   Google Scholar
• Lane Philip, R., and G. M. Milesi-Ferretti. 2007. The external wealth of Nations Mark II: Revised and extended estimates of foreign assets and liabilities, 1970–2004. Journal of International Economics 73 (November):223–50. doi:10.1016/j.jinteco.2007.02.003.
   Google Scholar
• Lee, J.-W. 2017. Twenty years after the financial crisis in the Republic of Korea. ADBI Working Paper Series No. 790.
   Google Scholar
• Lim, J. J., S. Mohapatra, and M. Stocker. 2014. Tinker, Taper, QE, bye? The effect of quantitative easing on financial flows to developing countries. (Background paper for Global Economic Prospects 2014). World Bank.
   Google Scholar
• Park, C. 2016. Developing local currency bond markets in Asia. ADB Economics Working Paper No. 495, Asian Development Bank.
   Google Scholar
• Park, D., A. Ramayandi, and K. Shin. 2016. Capital flows during quantitative easing and aftermath: Experiences of Asian countries. Emerging Markets Finance & Trade 52:886–903. doi:10.1080/1540496X.2015.1103136.
   Web of Science ®Google Scholar
• Patnaik, I., J. Felman, and A. Shah. 2017. An exchange market pressure measure for cross country analysis. Journal of International Money and Finance 73:62–77. doi:10.1016/j.jimonfin.2017.02.004.
   Web of Science ®Google Scholar
• Prasad, E. S. 2011. Rebalancing growth in Asia. International Finance 14 (1):27–66. doi:10.1111/j.1468-2362.2011.01276.x.
   Web of Science ®Google Scholar
• Sachs, J., A. Tornell, A. Velasco, G. A. Calvo, and R. N. Cooper. 1996. Financial crises in emerging markets: The lessons from 1995. Brookings Papers on Economic Activity 27 (1):147–99. doi:10.2307/2534648.
   Google Scholar
• Shin, H. S., and K. Shin. 2011. Procyclicality and monetary aggregates. NBER Working Paper 16836.
   Google Scholar