Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds
Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds BIS Working Papers | No 918 | 13 January 2021 Focus We study the dynamic properties of sovereign bonds in emerging market economies and their associated risk premiums. We focus on the interaction between credit and currency risks, ie the Twin Ds, reflected in local currency bonds issued by sovereigns in Asia-Pacific (AP). Contribution We contribute to the literature on determinants of sovereign credit spreads by establishing evidence on how financial market...
Source: bis.org