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Switching interest rate sensitivity regimes of U.S. Corporates

2018-12Journal article Restricted access
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dc.contributor.authorGubareva, Mariya
dc.contributor.authorBorges, Maria Rosa
dc.date.accessioned2019-05-07T14:28:41Z
dc.date.available2019-05-07T14:28:41Z
dc.date.issued2018-12
dc.descriptionArtigo publicado em revista científica internacionalpt_PT
dc.description.abstractWe study interest rate sensitivities of U.S. investment grade BBB-rated and high yield corporate bonds over the period of 2001–2016. Our methodology assesses the capital gains of corporate bond portfolios and risk-free government bond portfolios, using average coupon and blended yield indices for the U.S. market. For both, U.S. BBB and high yield corporate bonds, we evidence the switching, from positive to negative interest rate sensitivity, occurring over the transition from the normal economic conditions to the periods of economic distress and vice-versa. The proposed theoretical explanation of such binary behavior posits an interrelation between interest rate and creditworthiness of issuers, which varies according to the phases of the business cycle. This research advances an economic understanding of interest rate risk management and sheds light on how financial institutions may develop strategies that hedge against downside risk.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.doi10.1016/j.najef.2018.11.017pt_PT
dc.identifier.urihttp://hdl.handle.net/10400.21/9953
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherElsivierpt_PT
dc.relation.publisherversionhttps://doi.org/10.1016/j.najef.2018.11.017pt_PT
dc.subjectFixed incomept_PT
dc.subjectPortfolio performance evaluationpt_PT
dc.subjectDownside risk managementpt_PT
dc.subjectCorporate debtpt_PT
dc.subjectInterest rate sensitivitypt_PT
dc.titleSwitching interest rate sensitivity regimes of U.S. Corporatespt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.citation.titleNorth American Journal of Economics and Financept_PT
person.familyNameGubareva
person.familyNameBorges
person.givenNameMariya
person.givenNameMaria Rosa
person.identifier.ciencia-id311F-E7AA-AAAA
person.identifier.ciencia-idF916-94DC-E0BC
person.identifier.orcid0000-0001-6829-7021
person.identifier.orcid0000-0001-5340-471X
person.identifier.ridY-8520-2018
person.identifier.ridC-7946-2009
person.identifier.scopus-author-id56850438400
person.identifier.scopus-author-id8581988500
rcaap.rightsrestrictedAccesspt_PT
rcaap.typearticlept_PT
relation.isAuthorOfPublicationd6c8e85f-b262-4905-9380-4469f62011ed
relation.isAuthorOfPublicationa6bb0845-89fc-43a6-97d3-87ed5fcd10de
relation.isAuthorOfPublication.latestForDiscoverya6bb0845-89fc-43a6-97d3-87ed5fcd10de

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