ABSTRACT
For the first time we conduct an analysis of local currency government bonds (GBLC) yield determinants for a sample of three large emerging markets: Russia, China, and Brazil from 2007 to 2019. We investigate the influence of a wide range of national and global factors by testing multivariate linear regression models. The most significant factor determining yield dynamics in the Brazilian market is the exchange rate. In the Chinese market, the inflation rate and the percentage change in the money supply are the most significant national factors. In the Russian market, the exchange rate and the Bank of Russia’s key rate have a decisive impact. Among global factors, the yield to maturity on long-term US Treasuries, i.e. a proxy of the global risk-free rate, is the most significant factor for all three markets.
