TY  - CHAP
AB  - Abstract The study examines the joint effect of sovereign and call risks on the duration of callable sovereign bonds over the period 1996–2011. The results indicate that the sovereign risk-adjusted duration is significantly shorter than its Macaulay counterpart for U.S. dollar-denominated investment-grade callable sovereign bonds. Further, the “shortening” effect of sovereign and call risks on duration is generally stronger among bonds of lower ratings. Similar results are obtained when CDS prices are used as a proxy for changes in sovereign risk. Results from this study emphasize the importance of considering the joint effect of sovereign and call risks in managing the interest rate risk exposure in fixed income investments.
VL  - 13
SN  - 978-1-78190-312-4, 978-1-78190-311-7/1574-8715
DO  - 10.1108/S1574-8715(2013)0000013011
UR  - https://doi.org/10.1108/S1574-8715(2013)0000013011
AU  - Xie Yan Alice
AU  - Yau Jot
AU  - Lee Hei Wai
PY  - 2014
Y1  - 2014/01/01
TI  - Managing Risk in Sovereign Bond Portfolios: The Impact of Sovereign and Call Risks on Duration
T2  - International Financial Markets
T3  - Frontiers of Economics and Globalization
PB  - Emerald Group Publishing Limited
SP  - 109
EP  - 124
Y2  - 2024/04/25
ER  -