This article analyses developments in and the determinants of the country-specific dependence of sovereign bond returns on global factors for 41 economies. The dependence is cyclical and substantial: the average for the sample economies and period is around 56 percent. This is consistent with the global financial cycle hypothesis stressing the dominant role played by global factors in the synchronization of asset price changes across economies. The dependence is smaller for emerging economies than for advanced economies. Differences in the dependence across economies and over time are attributable to country fixed effects and time-varying factors. These factors include the size and openness of domestic bond markets, the variability of foreign exchange rates, macro-economic policies, and national indebtedness. One policy implication of the global financial cycle hypothesis is also examined – the dilemma between international capital mobility and monetary policy.

本文分析了 41 个经济体主权债券回报对全球因素的特定国家依赖性的发展和决定因素。这种依赖性是周期性的和实质性的：样本经济体和时期的平均值约为 56%。这与强调全球因素在跨经济体资产价格同步变化中起主导作用的全球金融周期假说是一致的。与发达经济体相比，新兴经济体的依赖性较小。不同经济体和随时间推移的依赖性差异可归因于国家固定效应和时变因素。这些因素包括国内债券市场的规模和开放度、外汇汇率的可变性、宏观经济政策和国债。