The Impact of Sovereign Credit Risk on Bank Funding Conditions

Report Submitted by a Study Group established by the Committee on the Global Financial System. This Study Group was chaired by Fabio Panetta of the Bank of Italy

The US treasury market in August 1998: untangling the effects of Hong Kong and Russia with high-frequency data

The second half of August 1998 was dominated by two events. From 14 to 28 August, the Hong Kong Monetary Authority (HKMA) intervened in the Hong Kong equity markets to prevent a speculative double play against their currency board. On 17 August, Russia announced its default on sovereign bonds. This paper demonstrates that the HKMA interventions had a substantial impact on the outcomes for US Treasury markets during this period. Using a careful analysis of high frequency bond market data, both events are shown to intersect the US Treasury market, despite having oroginated from seemingly unrelated shocks. On this eveidence, the shocks emanating from Hong Kong were important for the US Treasury market. The lesson for policy makers is that major markets play an important role in transmitting and absorbing the effects of unrelated shocks.ESRC Research Programme on World Economy & Financ

A framework for benchmarking the strategic position of bond markets in the competing environment

The purpose of this paper is to develop a benchmarking framework for identifying different indicators and their importance in forming the strategic position of Thai bond markets in competitive economies using Strategic Position and Action Evaluation (SPACE) matrix framework.Design/methodology/approachThe Delphi approach is deployed for indicator selection and the framework validation. A questionnaire survey is then used to assess the importance of different factors determining the strategic bond market development and competitiveness using the Analytic Hierarchy Process (AHP) model.FindingsA group of experienced bond market experts assign different levels of importance for each key factor under a given dimension to reach consensus. The results reveal that there are 17 factors affecting the strategic development and competitiveness of the bond market. Among four aspects under the framework, the financial strength dimension is considered by the experts as the most dominant aspect to strategic bond market development, followed by competitive advantage, industry strength, and environment stability, respectively.Practical implicationsThe benchmarking framework developed in this study is useful for guiding measurement and assessment of the strategic position of bond markets in the competing environment.Originality/valueThe author proposes for the first time a conceptual framework based on macro-level data to assess the strategic bond market development and competitiveness using SPACE matrix method. The study employs the Delphi?s technique and in-depth interview with bond market experts to build indicators for each dimension under the framework. Second, this paper also applies the AHP to discover the order of relative importance for the indicators identified by the experts through pairwise comparison to reach consensus, which has never been conducted before