Our study provides new evidence on asymmetric dependencies in international government bond markets, by examining bonds from developed, emerging, and frontier countries, using a quantile regression methodology. We find that the dependence structure for emerging and frontier markets significantly changes during financial crisis periods, which we show has important implications for international diversification of investment strategies. Moreover, we also examine in detail stock–bond correlations and uncover several instances of decoupling. In contrast, developed markets exhibit a more stable dependence pattern. In addition, we document that the degree and structure of dependence vary when foreign currencies are hedged or unhedged, and across bond maturity segments.

我们的研究通过使用分位数回归方法检查来自发达国家、新兴国家和前沿国家的债券，为国际政府债券市场的非对称依赖性提供了新证据。我们发现，新兴市场和前沿市场的依赖结构在金融危机期间发生了显着变化，这对国际投资策略的多元化具有重要意义。此外，我们还详细研究了股票-债券的相关性，并发现了几个脱钩的例子。相比之下，发达市场表现出更稳定的依赖模式。此外，我们记录了当外币被对冲或未对冲以及不同债券期限段的依赖程度和结构不同。