Publication
Historical Interest Rate Sensitivity of Emerging Market Sovereign Debt: Evidence of Regime Dependent Behavior
| dc.contributor.author | Gubareva, Mariya | |
| dc.date.accessioned | 2019-05-07T15:27:14Z | |
| dc.date.available | 2019-05-07T15:27:14Z | |
| dc.date.issued | 2018-11 | |
| dc.description | Artigo em revista científica internacional | pt_PT |
| dc.description.abstract | Interest rate sensitivity of USD-denominated emerging market sovereign debt over 1997-2017 is studied through comparative price dynamics of emerging market sovereign bonds versus US governmental securities. The proposed methodology derives important insights for practical strategies of managing interest rate risk in the banking book. We find that the direct positive interest rate sensitivity under normal economic conditions is interchanged with the inverted negative sensitivity during distressed crisis-affected market turbulences. Due to the time-varying behavior of interest rate sensitivity, the hedging of interest rate risk must be a dynamic process linked to phases of the business cycle. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.issn | 1529-7373 | |
| dc.identifier.uri | http://hdl.handle.net/10400.21/9956 | |
| dc.language.iso | eng | pt_PT |
| dc.peerreviewed | yes | pt_PT |
| dc.publisher | Society for AEF | pt_PT |
| dc.relation.ispartofseries | ;2 | |
| dc.relation.publisherversion | https://ideas.repec.org/a/cuf/journl/y2018v19i2gubareva.html | pt_PT |
| dc.subject | Fixed income | pt_PT |
| dc.subject | Portfolio performance evaluation | pt_PT |
| dc.subject | Downside risk management | pt_PT |
| dc.subject | Emerging markets | pt_PT |
| dc.subject | Sovereign debt | pt_PT |
| dc.subject | Interest rate sensitivity | pt_PT |
| dc.subject | Capital gains | pt_PT |
| dc.title | Historical Interest Rate Sensitivity of Emerging Market Sovereign Debt: Evidence of Regime Dependent Behavior | pt_PT |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| oaire.citation.endPage | 442 | pt_PT |
| oaire.citation.startPage | 405 | pt_PT |
| oaire.citation.title | Annals of Economics & Finance | pt_PT |
| oaire.citation.volume | 19 | pt_PT |
| person.familyName | Gubareva | |
| person.givenName | Mariya | |
| person.identifier.ciencia-id | 311F-E7AA-AAAA | |
| person.identifier.orcid | 0000-0001-6829-7021 | |
| person.identifier.rid | Y-8520-2018 | |
| person.identifier.scopus-author-id | 56850438400 | |
| rcaap.rights | restrictedAccess | pt_PT |
| rcaap.type | article | pt_PT |
| relation.isAuthorOfPublication | d6c8e85f-b262-4905-9380-4469f62011ed | |
| relation.isAuthorOfPublication.latestForDiscovery | d6c8e85f-b262-4905-9380-4469f62011ed |