Factors affecting the yields of emerging market issuers: Evidence from the Asia-Pacific region

The Effect of Consumer Expectation Index, Economic Condition Index and Crude Oil Price on Indonesian Government Bond Yield

“…3) Favero et al (2010) in their research for variables that affect government bond yield conclude that dollar-euro exchange rate is insignificant. 4) Batten et al (2006) that conclude that exchange rate variables were only significant for spreads on Philippine bonds where it was positively related to changes in the exchange rate.…”

The role of country, regional and global market risks in the dynamics of Latin American yield spreads

“…In times of an economic boom (associated with a higher world interest rate), the yield spreads are expected to fall, while in times of economic downturn (characterized by a lower world interest rate), the yield spreads are expected to rise. A negative relationship between the yield spread and the current level of the U.S. interest rate was found by Eichengreen and Mody (1998), Batten et al (2006) and Uribe and Yue (2006). Another strand of literature (e.g., Hartelius et al, 2008) argues that changes in the short-term U.S. interest rate captures changes in global liquidity.…”

“…The Ljung-Box-Pierce Q-test and Engle's ARCH test provided further evidence of the presence of significant serial correlation in squared residuals (from the OLS) for all yield spread series in our sample. Manzoni (2002) and Batten et al (2006) control for this factor through GARCH(1.1) to GARCH(3,3) specifications. These specifications are sufficient to eliminate this type of heteroskedasticity in our sample as well.…”

“…To this end we study the joint impact and relative importance of these groups of factors by incorporating corresponding marketbased measures in an empirical model of yield spread changes. We follow the methodology in Manzoni (2002) and Batten et al (2006) to account for volatility clustering and autocorrelation effects which are present in daily spread changes.…”

Impact of IMF-related news on capital markets: Further evidence from bond spreads in Indonesia and Korea

“…Using the writing conventions of Batten et al (2005) that also takes the Longstaff-Schwartz model as their theoretical basis, we estimate the following GARCH(1, 1) specification that reflects the Longstaff-Schwartz framework:…”