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Binary interest rate sensitivities of emerging market corporate bonds

2017-11Journal article Open access
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dc.contributor.authorGubareva, Mariya
dc.contributor.authorBorges, Maria Rosa
dc.date.accessioned2017-11-18T10:01:55Z
dc.date.available2017-11-18T10:01:55Z
dc.date.issued2017-11
dc.descriptionOriginal Articlespt_PT
dc.description.abstractWe 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.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.doihttp://dx.doi.org/10.1080/1351847X.2017.1400452pt_PT
dc.identifier.urihttp://hdl.handle.net/10400.21/7554
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherTaylor and Francis Onlinept_PT
dc.relationProjecto financiado no âmbito da 1ª edição do concurso de Projectos de Investigação, Desenvolvimento, Inovação & Criação Artística (IDI&CA) financiados pelo Instituto Politécnico de Lisboa. IPL/2016/MacroModel_ISCAL
dc.subjectFixed incomept_PT
dc.subjectPortfolio performance evaluationpt_PT
dc.subjectDownside risk managementpt_PT
dc.subjectEmerging marketspt_PT
dc.subjectCorporate debtpt_PT
dc.subjectInterest rate sensitivitypt_PT
dc.subjectIPL/2016/MacroModel_ISCAL
dc.titleBinary interest rate sensitivities of emerging market corporate bondspt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.citation.titleThe European Journal of 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.rightsopenAccesspt_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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