Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds / Mikhail Chernov, Drew D. Creal, Peter Hördahl.

Format:

Book

Author/Creator:

Chernov, Mikhail.

Contributor:

Creal, Drew D.

Hördahl, Peter.

National Bureau of Economic Research.

Series:

Working Paper Series (National Bureau of Economic Research) no. w27500.

NBER working paper series no. w27500

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2020.

Summary:

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.

Notes:

July 2020.

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