Authors: Ines Chaieb, Vihang Errunza, and Rajna Gibson Brandon
Publication: The Review of Financial Studies, Forthcoming
There is significant heterogeneity in the degree and dynamics of sovereign bond market integration across 21 developed and 18 emerging countries. We show that better spanning can significantly enhance market integration through local risk premia dissipation. Integration of the sovereign bond markets increases on average by about 10%, when a country moves from the 25th percentile 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.
Desautels prides itself on being a research-intensive management faculty that brings together scholars with a broad range of expertise, including mathematics, economics, psychology, sociology, and technology. Together, they address in their work issues of great importance to not only the business community, but also to society.
Editor: Vihang Errunza
Authors: Errunza, V., Ta, H.
Publication: Journal of Financial and Quantitative Analysis, Vol. 50, No. 5, 2015
Authors: Col, B., Errunza, V.
Publication: Journal of Corporate Finance
Authors: Carrieri, Francesca; Chaieb, Ines; Errunza, Vihang
Publication: Review of Financial Studies, 2013
Authors: Christoffersen, Peter F.; Errunza, Vihang R.; Jacobs, Kris; Langlois, Hugues