| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14986 |
| DP14986 Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds | |
| Mikhail Chernov; Drew Creal; Peter Hördahl | |
| 发表日期 | 2020-07-02 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We study the dynamic properties of sovereign bonds in emerging markets and their associated risk premiums. We focus on the properties of credit spreads, exchange rates, and their interaction. Relying on the term structure of local currency bonds issued by Asia-Pacific sovereigns, we find that local variables are significant in the dynamics of currency and credit risk, and the components of bond risk premiums reflecting these risks. Local currency bonds dramatically improve the investment frontier. |
| 主题 | Financial Economics ; International Macroeconomics and Finance |
| 关键词 | Emerging bond markets Credit risk Currency risk Twin ds Affine model |
| URL | https://cepr.org/publications/dp14986 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543932 |
| 推荐引用方式 GB/T 7714 | Mikhail Chernov,Drew Creal,Peter Hördahl. DP14986 Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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