Original sin redux : role of duration risk / Carol Bertaut, Valentina Bruno and Hyun Song Shin
Contributor(s): Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: Centre for Economic Policy Research. Discussion papers ; DP18757Publisher: London : Centre for Economic Policy Research, 17 January 2024Description: 1 Online-Ressource (circa 76 Seiten) : IllustrationenSubject(s): Genre/Form: Online resources: Summary: We highlight the role of duration and exchange rate risks on portfolio flows by using a unique and comprehensive database of US investor flows into emerging market government bonds denominated in local currency. Borrowing long-term mitigates roll-over risk but amplifies valuation changes that further interact with currency movements. Our analysis highlights the double-edged nature of long-term borrowing and draws attention to market stress dynamics due to strategic complementarities among mutual fund investors.PPN: PPN: 1879072319Package identifier: Produktsigel: ZDB-1-CEPPNo physical items for this record