Exchange Rate Dynamics and US Dollar-denominated Sovereign Bond Prices in Emerging Markets
Publication in refereed journal

香港中文大學研究人員

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摘要Using data on Brazil, Colombia, Mexico, the Philippines, Russia and Turkey, our empirical results show that the exchange rates of their currencies have adequate explanatory power in explaining their US dollar-denominated sovereign bonds, particularly in the post-crisis period. We develop a two-factor pricing model with closed-form solutions for the sovereign bonds in which the correlated factors are foreign exchange rates and US risk-free interest rates that follow a double square-root process relevant in the low interest rate environment. The numerical results and associated error analysis show that the model credit spreads can broadly track the market credit spreads.
著者C.H. Hui, C.F. Lo, P.H. Chau
期刊名稱Institute of Global Finance Working Paper
詳細描述Paper 3
出版年份2016
月份12
卷號3
期次1
出版社Institute of Global Finance
語言英式英語

上次更新時間 2018-18-01 於 11:17