Gadanecz, Blaise; Miyajima, Ken; Shu, Chang - Bank for International Settlements (BIS) - 2014
In this paper we consider the role of exchange rate risk in influencing local currency sovereign bond yields in … emerging market economies (EMEs). We explicitly account for exchange rate expectations and uncertainty around them, as measured … by exchange rate volatility. The analysis points to an important influence of exchange rate risk: when exchange rate …