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VALUATION OF GOVERNMENT BONDS: THE EXCHANGE RATE IS AN IMPORTANT ASPECT.
- Source :
-
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis . 2017, Vol. 65 Issue 6, p1911-1916. 6p. - Publication Year :
- 2017
-
Abstract
- Interest rates are currently very low in the countries. In these countries bonds are issued with low or negative yields. In this paper, I empirically investigate the factors that affect the price of bonds. I follow international arbitrage pricing theory to determine the relationship between factors and the price of bonds. The international arbitrage pricing theory applies a multi-linear regression model. The regression model is used for emerging markets and developing markets separately. I have a unique data set of 46 countries. The main data are the monthly returns on government bonds in the period 2010 - 2015. Exchange risk influences the bond prices. Currency movements can bring further yield for investors. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 12118516
- Volume :
- 65
- Issue :
- 6
- Database :
- Academic Search Index
- Journal :
- Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis
- Publication Type :
- Academic Journal
- Accession number :
- 126621016
- Full Text :
- https://doi.org/10.11118/actaun201765061911