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
替代計量分析
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其它資訊
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-global financial 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Hui CH, Lo CF, Chau PH
期刊名稱North American Journal of Economics and Finance
出版年份2018
月份4
卷號44
出版社Elsevier
頁次109 - 128
國際標準期刊號1062-9408
電子國際標準期刊號1879-0860
語言英式英語
關鍵詞Sovereign risk,Bond pricing model,Exchange rates,Emerging markets,US interest rates
Web of Science 學科類別Business, Finance;Economics;Business & Economics

上次更新時間 2020-06-08 於 03:13