國家選舉對新興市場主權債殖利率之影響

Abstract

隨著新興市場主權債規模逐年擴大，投資人對於其政經相關議題也更加重視，尤其在國家重要選舉期間的新訊息，皆有可能影響未來政治發展與經濟表現，同時造成債券市場的波動。本研究藉由觀察2000年至2020年間新興市場於全國選舉期間之主權債殖利率，以事件研究法進行實證，探討國家大選對於當地貨幣計價之主權債殖利率的影響，並且以多變數迴歸模型，分析執政黨意識形態、選舉競爭程度等因素對殖利率變化的影響方向與幅度。本研究實證發現：(1) 新興市場之主權債殖利率在全國選舉前呈下降趨勢，並於選舉日後逐漸上升，顯示結果公佈後，投資人仍持續對於選舉事件進行定價；(2) 市場參與者在選舉前即對未來新執政者的政治意識形態建立預期，當預期左翼候選人可能取代右翼現任者時，選舉前主權債殖利率將較預期右翼候選人取代左翼現任者時上升；(3) 選舉競爭程度會影響結果公佈後之主權債殖利率，競爭激烈的選舉將使選舉後殖利率變化明顯增加。本研究的實證結果可作為新興市場全國選舉期間，投資人對於主權債市場行情的參考。

As the size of Emerging market (EMs) sovereign bond markets continue to grow, investors pay more attention to the EMs general elections, which may affect both the future policies and economic outlooks. Consequently, the political uncertainty around the election date makes bond markets significantly volatile. The purpose of the study was to identify the association between general elections and EMs sovereign bond yields. The study used an event-study methodology that examined abnormal rate of change of local currency sovereign bond yields around the election date from 2000 to 2020. The results revealed that (a) the sovereign bond yields in EMs showed a downward trend before the general election, and gradually increased after the election day, indicating that investors continued to price in the events, even if the results were announced; (b) bondholders forecasted the political ideology of the new ruling party before the elections. The investors required higher credit risk premium on sovereign bonds as they anticipated that right-wing incumbent appeared to be replaced by left-wing candidates; and (c) the degree of electoral competitiveness affected the sovereign bond yields after the election results. Highly competitive elections would significantly rise the bonds yields during the post-election period. The empirical results of this study can serve as a reference for bondholders in the sovereign bond markets around the general elections date in EMs.