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来源类型Working Paper
规范类型报告
DOI10.3386/w12548
来源IDWorking Paper 12548
Foreign Participation in Local Currency Bond Markets
John D. Burger; Francis E. Warnock
发表日期2006-10-03
出版年2006
语种英语
摘要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.
主题International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Development and Growth ; Development
URLhttps://www.nber.org/papers/w12548
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/570208
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GB/T 7714
John D. Burger,Francis E. Warnock. Foreign Participation in Local Currency Bond Markets. 2006.
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