Measuring Sovereign Bond Market Integration
研究发现21个发达国家和18个新兴市场国家的主权债券市场一体化程度和动态存在显著差异，政治稳定、信用质量、低通胀和低流动性风险能提升一体化，进而降低主权融资成本。
Abstract We find that the degree and dynamics of sovereign bond market integration across 21 developed and 18 emerging countries is significantly heterogeneous. We show that better spanning can significantly enhance market integration through dissipating local risk premiums. Integration of the sovereign bond markets increases by about 10% on average, when a country moves from the 25th to the 75th percentile as a result of higher political stability and credit quality, lower inflation and inflation risk, and lower illiquidity. The 10% increase in integration leads to, on average, a decrease in the sovereign cost of funding of about 1% per annum. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.