Lee, Hei Wai; Xie, Yan Alice; Yau, Jot - In: International Review of Economics & Finance 20 (2011) 3, pp. 441-451
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...