Format:
1 Online-Ressource (4 p)
Series Statement:
BIS Paper No. 102d
Content:
This paper studies how global and local factors drive local currency (LC) sovereign yields in four Asia-Pacific (AP) countries – China, Korea, Singapore and Indonesia – through the lens of a cross-country term structure model. The analysis distinguishes between the currency risk component of the yields, measured as spreads of LC AP yields over US dollar-denominated AP yields, and the credit risk component, measured as spreads of US dollar-denominated AP yields over US Treasury yields.Full Publication: "http://ssrn.com/abstract=3383273" Asia-Pacific Fixed Income Markets: Evolving Structure, Participation and Pricing
Note:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 2019 erstellt
Language:
English
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