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• W2036751323 abstract "Abstract This paper examines the effect of sovereign risk on bond duration. We compare the sovereign risk-adjusted duration for U.S. dollar-denominated Asian sovereign bonds with their Macaulay duration for both investment grade bonds and speculative grade bonds. We find that the sovereign risk-adjusted duration is significantly shorter than its Macaulay counterpart for all bonds, regardless of their bond rating and their maturity. Further, the “shortening” effect of sovereign risk on duration gets stronger as bond rating deteriorates and in recessionary conditions. Our findings provide strong support for the importance of adjusting for sovereign risk when bond portfolio managers apply the popular duration measure to hedge interest rate risk." @default.
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• W2036751323 date "2011-06-01" @default.
• W2036751323 modified "2023-10-18" @default.
• W2036751323 title "The impact of sovereign risk on bond duration: Evidence from Asian sovereign bond markets" @default.
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• W2036751323 doi "https://doi.org/10.1016/j.iref.2010.11.020" @default.
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