WORKING PAPER 02/2024 Multi-Sector Bond Funds: New Evidence on Global and Domestic

The views expressed in this paper are those of the authors and do not necessarily reflect the views of the International Finance Corporation and The SEACEN Centre. [...] In doing so, we update the dataset of Cortes and Sanfilippo (2020 and 2021) through 2022, which captures the impact of the COVID-19 pandemic, Russia’s invasion of Ukraine, and the onset of the high inflation period. [...] The sharp capital outflows witnessed at the start of the global pandemic and the recent turmoil following the Russia-Ukraine conflict affected the entire asset class. [...] To test this, the lag of the dependent variable is added to the empirical model, and the results show that the lagged MSBF flows are negative (mean-reverting) and significant (Table A7). [...] Table 3 presents the results and shows that the significance and signs of the global and domestic factors are the same as in the baseline results shown in Table 2.