@techreport{NBERw12548,
 title = "Foreign Participation in Local Currency Bond Markets",
 author = "John D. Burger and Francis E. Warnock",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "12548",
 year = "2006",
 month = "October",
 URL = "http://www.nber.org/papers/w12548",
 abstract = {Countries that cannot attract foreigners to invest in their local currency bonds run the risk of currency mismatches that can result in painful crises.  We analyze foreign participation in the bond markets of over 40 countries.  Bond markets in less developed countries have returns characterized by high variance and negative skewness, factors that we show are eschewed by U.S. investors.  While results based on a three-moment CAPM indicate that it is diversifiable idiosyncratic risk that U.S. investors shun, our analysis suggests that countries can improve foreign participation by reducing macroeconomic instability.},
}