強勢美元是否會對新興市場美元計價主權債券利差造成影響?

Abstract

這篇論文探討了美元走強對新興市場（EM）美元計價主權債券利差的影響，這在全球投資者中常被視為衡量債券價格和相對估值的重要指標。具體而言，本文分析了美元、總體因素以及財政狀況如何影響新興市場國家風險，而國家風險通常由主權債券利差衡量。利用2009年3月至2023年6月的季度數據，我們採用了結構式VAR，以區分對新興市場美元計價主權債券利差的直接和間接影響。結果顯示：（1）美元震盪對擴大新興市場美元計價主權債券利差（即對債券價格的負面影響）具有統計和經濟上的顯著影響；（2）與以固定匯率或以非通膨目標政策的國家相比，具有更多匯率彈性或有設定通膨目標的國家在其美元主權債券上對美元震盪的負面影響具有更強的抵抗力。

Global investors often utilize U.S. dollar (USD)-denominated sovereign bond spreads as an indicator to measure bond price and conduct relative valuation. Hence, this study investigates whether the strengthening of the USD has a crucial impact on emerging market (EM) USD-denominated sovereign bond spreads. Specifically, we analyzed how USD, macro factors and individual countries’ fiscal condition influence EM country risk, which is measured by sovereign bond spreads. We apply the structure vector autoregression (SVAR) model0F to disentangle the direct and indirect influences on EM USD-denominated sovereign bond spreads using quarterly data for 15 emerging markets from Mar 2009 to Jun 2023. Results indicated that (1) USD shock has statistically and economically significantly impacts to widen EM USD-denominated sovereign bond spreads (i.e., negative impact toward bond prices); (2) countries with more exchange rate flexibility or inflation-targeting framework have more resistance against the negative impact of USD shock on their USD sovereign bonds compared with those having a fixed exchange rate or non-inflation-targeting policy do.