01789cas a2200265 a 4500 AALejournalIMF006223 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451961775 1018-5941 BD-DhAAL BD-DhAAL Hamann, A. Correlations in Emerging Market Bonds : The Role of Local and Global Factors / A. Hamann, Irina Bunda, Subir Lall. Washington, D.C. : International Monetary Fund, 2010. 1 online resource (27 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students This paper examines the comovement in emerging market bond returns and disentangles the influence of external and domestic factors. The conceptual framework, set in the context of asset allocation, allows us to describe the channels through which shocks originating in a particular emerging or mature market are transmitted across countries and markets. We show that using a simple measure of cross-country correlations together with the commonly used average correlation coefficient can be more informative during episodes of heightened market instability. Data for the period 1997-2008 are analyzed for evidence of true contagion and common external shocks. Mode of access: Internet Bunda, Irina. Lall, Subir. IMF Working Papers; Working Paper ; No. 2010/006 Full text available on IMF http://elibrary.imf.org/view/journals/001/2010/006/001.2010.issue-006-en.xml IMF e-Library