Veiksnių, darančių įtaką vyriausybių obligacijų rinkų sąveikai, vertinimas globalioje aplinkoje ; Assessment of the factors influencing government bond market comovements in the global environment

Abstract

Severe global economic impacts of recent financial crises made it more important understanding how market patterns are transmitted, intensifying the need to determine the relationship between financial markets. With investment flows transferred from stock to government bond markets during financial crises, researchers draw their attention to bond markets, exposing strengthening comovements between them. The aim of this research was to prepare the methodology for identification and assessment of the factors influencing government bond market comovements and to test this methodology in the global environment. Research methodology was based on the proposed model that includes government bond market comovements and global, fundamental and bilateral factors influencing them. Empirical research was carried out in 75 government bond markets in 2008-2016. The results showed that government bond markets significantly commoved in clusters. The influence of global factors on government bond market comovements was less strong than expected, while fundamental factors had a strong influence on the comovements: the more similar two countries were in their fundamentals, the stronger their government bond markets commoved. Only one bilateral factor – foreign direct investment – had an influence on government bond market comovements. The fact that government bond market comovements were more dependent on fundamental rather than the global factors creates more diversification possibilities for investors as well as more possibilities for governments to reduce their cost of debt by improving their fundamentals.