Binary interest rate sensitivities of emerging market corporate bonds
Autor(a) principal: | |
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Data de Publicação: | 2017 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/26288 |
Resumo: | We develop a framework to assess interest rate sensitivities of emerging market corporate debt. Our analysis, based on yield indexes, is applied to investment grade and high yield portfolios. We reach beyond correlation-based analyses of interest rate sensitivity and keep our scope centered at capital gains of emerging market corporates and U.S. government bonds portfolios. Our empirical analysis spans over the period 2002–2015. We address interest rate sensitivity of assets during the ignition, apogee, and the aftermath of the global financial crisis. Based on historical data series, we evidence that the emerging market corporate bonds exhibit two different regimes of sensitivity to interest rate changes. We observe switching from a positive sensitivity under the normal market conditions to a negative one during distressed phases of business cycles and provide economical explanations of such phenomena. We show that emerging market corporate bonds, which on average could appear rather insensitive to the interest rate risk, in fact, present binary interest rate sensitivities. This research sheds light on how financial institutions may approach interest rate risk management including the downside risk hedge. Our findings allow banks and financial institutions to optimize economic capital under Basel III regulatory capital rules. |
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Binary interest rate sensitivities of emerging market corporate bondsFixed IncomePortfolio Performance EvaluationDownside Risk ManagementEmerging MarketsCorporate DebtInterest Rate SensitivityWe develop a framework to assess interest rate sensitivities of emerging market corporate debt. Our analysis, based on yield indexes, is applied to investment grade and high yield portfolios. We reach beyond correlation-based analyses of interest rate sensitivity and keep our scope centered at capital gains of emerging market corporates and U.S. government bonds portfolios. Our empirical analysis spans over the period 2002–2015. We address interest rate sensitivity of assets during the ignition, apogee, and the aftermath of the global financial crisis. Based on historical data series, we evidence that the emerging market corporate bonds exhibit two different regimes of sensitivity to interest rate changes. We observe switching from a positive sensitivity under the normal market conditions to a negative one during distressed phases of business cycles and provide economical explanations of such phenomena. We show that emerging market corporate bonds, which on average could appear rather insensitive to the interest rate risk, in fact, present binary interest rate sensitivities. This research sheds light on how financial institutions may approach interest rate risk management including the downside risk hedge. Our findings allow banks and financial institutions to optimize economic capital under Basel III regulatory capital rules.Taylor & Francis GroupRepositório da Universidade de LisboaGubareva, MariyaBorges, Maria Rosa2022-11-29T11:41:48Z20172017-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/26288engGubareva, Mariya and Maria Rosa Borges .(2017). “Binary interest rate sensitivities of emerging market corporate bonds”. The European Journal of Finance, Vol. 24, No. 17: pp 1569–158610.1080/1351847X.2017.1400452info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:55:46Zoai:www.repository.utl.pt:10400.5/26288Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:09:58.208921Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Binary interest rate sensitivities of emerging market corporate bonds |
title |
Binary interest rate sensitivities of emerging market corporate bonds |
spellingShingle |
Binary interest rate sensitivities of emerging market corporate bonds Gubareva, Mariya Fixed Income Portfolio Performance Evaluation Downside Risk Management Emerging Markets Corporate Debt Interest Rate Sensitivity |
title_short |
Binary interest rate sensitivities of emerging market corporate bonds |
title_full |
Binary interest rate sensitivities of emerging market corporate bonds |
title_fullStr |
Binary interest rate sensitivities of emerging market corporate bonds |
title_full_unstemmed |
Binary interest rate sensitivities of emerging market corporate bonds |
title_sort |
Binary interest rate sensitivities of emerging market corporate bonds |
author |
Gubareva, Mariya |
author_facet |
Gubareva, Mariya Borges, Maria Rosa |
author_role |
author |
author2 |
Borges, Maria Rosa |
author2_role |
author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Gubareva, Mariya Borges, Maria Rosa |
dc.subject.por.fl_str_mv |
Fixed Income Portfolio Performance Evaluation Downside Risk Management Emerging Markets Corporate Debt Interest Rate Sensitivity |
topic |
Fixed Income Portfolio Performance Evaluation Downside Risk Management Emerging Markets Corporate Debt Interest Rate Sensitivity |
description |
We develop a framework to assess interest rate sensitivities of emerging market corporate debt. Our analysis, based on yield indexes, is applied to investment grade and high yield portfolios. We reach beyond correlation-based analyses of interest rate sensitivity and keep our scope centered at capital gains of emerging market corporates and U.S. government bonds portfolios. Our empirical analysis spans over the period 2002–2015. We address interest rate sensitivity of assets during the ignition, apogee, and the aftermath of the global financial crisis. Based on historical data series, we evidence that the emerging market corporate bonds exhibit two different regimes of sensitivity to interest rate changes. We observe switching from a positive sensitivity under the normal market conditions to a negative one during distressed phases of business cycles and provide economical explanations of such phenomena. We show that emerging market corporate bonds, which on average could appear rather insensitive to the interest rate risk, in fact, present binary interest rate sensitivities. This research sheds light on how financial institutions may approach interest rate risk management including the downside risk hedge. Our findings allow banks and financial institutions to optimize economic capital under Basel III regulatory capital rules. |
publishDate |
2017 |
dc.date.none.fl_str_mv |
2017 2017-01-01T00:00:00Z 2022-11-29T11:41:48Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/26288 |
url |
http://hdl.handle.net/10400.5/26288 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Gubareva, Mariya and Maria Rosa Borges .(2017). “Binary interest rate sensitivities of emerging market corporate bonds”. The European Journal of Finance, Vol. 24, No. 17: pp 1569–1586 10.1080/1351847X.2017.1400452 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Taylor & Francis Group |
publisher.none.fl_str_mv |
Taylor & Francis Group |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799131196101230592 |