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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w27500 |
来源ID | Working Paper 27500 |
Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds | |
Mikhail Chernov; Drew D. Creal; Peter Hördahl | |
发表日期 | 2020-07-13 |
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 | International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
URL | https://www.nber.org/papers/w27500 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/585174 |
推荐引用方式 GB/T 7714 | Mikhail Chernov,Drew D. Creal,Peter Hördahl. Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds. 2020. |
条目包含的文件 | ||||||
文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w27500.pdf(859KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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