In numerous Central and Eastern European (CEE) countries, the global financial crisis as well as the unpegging of the foreign exchange rate of the Swiss franc (CHF) against the euro amplified the repayment troubles of households with the outstanding CHF-linked debt. In Croatia, the CHF loans...

More than 20 years after the Asian financial crisis, the region's continued high reliance on United States (US) dollar-denominated funding has significant implications for the transmission of global financial conditions to domestic financial and macroeconomic circumstances. Given limited...

This paper analyzes the effects of including collective action clauses (CACs) and enhanced CACs in international (nondomestic law-governed) sovereign bonds on sovereigns’ borrowing costs, using secondary-market bond yield spreads. Our findings indicate that inclusion of enhanced CACs,...

In this paper, we offer a comprehensive analysis of the structure of the Dim Sum bond market. We show that Dim Sum bonds usually have a short maturity and that the market is dominated by issuers from the banking sector. In our analysis of the determinants of Dim Sum bond bid-ask spread, we find...

This paper investigates the source of variation in emerging market (EM) local currency bond risk premium by employing panel fixed effects regression model. Moreover, we use the methodology of dynamic factor model for large datasets to investigate the possible linkages between excess bond return...

Investments in international fixed income securities are exposed to significant currency risks. We collect novel data on mutual fund currency derivatives and document that around 90% of U.S. international fixed income funds use currency forwards to manage their foreign exchange exposure. Funds'...

This study quantitatively investigates the currency composition of sovereign debt in the presence of two types of limited enforcement frictions arising from a government's monetary and debt policy: strategic currency debasement and default on sovereign debt. Local currency debt obligations are...

This paper provides an empirical analysis of nonfinancial corporate debt in six large Latin American countries (Argentina, Brazil, Chile, Colombia, Mexico, and Peru), distinguishing between bond-issuing and non-bond-issuing firms, and assessing the debt's macroeconomic implications. The paper...

Issuing sovereign bonds in the international markets using a trust structure rather than a fiscal agency agreement conveys several benefits for the issuer and the holders of the bonds. Principal and interest payments received by a trustee will be less susceptible to attachment by third party...

This study quantitatively investigates the currency composition of sovereign debt in the presence of two types of limited enforcement frictions arising from a government's monetary and debt policy: strategic currency debasement and default on sovereign debt. Local currency debt obligations are...

Currency denomination is a prominent feature in the analysis of the structure of international bond markets, but is largely absent from analyses of cross-border investment in debt securities. This omission owes in part to the limitations of widely used datasets such as the IMF's CPIS data (on...

Currency denomination is a prominent feature in the analysis of the structure of international bond markets, but is largely absent from analyses of cross-border investment in debt securities. This omission owes in part to the limitations of widely used datasets such as the IMF's CPIS data (on...

The use of collective action clauses (CACs) in public bonds has received significant attention in academic and policy circles in recent years. While the existing literature suggests that market participants in sovereign and corporate bond markets often opt to include CACs when allowed under the...

Das Mitte Januar 2015 von der Schweizerischen Nationalbank verkündete Ende der Wechselkursuntergrenze des Frankens an den Euro führte zu erheblichen Verlusten bei deutschen Kommunen. Diese hatten in den vergangenen Jahren in nicht unerheblichem Umfang Kredite in Fremdwährungen, oftmals in...

This paper investigates the impact of international swap lines on stock returns using data from banks in emerging markets. The analysis shows that swap lines by the Swiss National Bank (SNB) had a positive impact on bank stocks in Central and Eastern Europe. It then highlights the importance of...

In this paper, we find that home bias is still present in all economies and regions, especially in the case of short-term debt securities, but that there are substantial variations among economies and regions in the strength of home bias, with the Eurozone economies, the US, and developing Asia...

This paper investigates the impact of international swap lines on stock returns using data from banks in emerging markets. The analysis shows that swap lines by the Swiss National Bank (SNB) had a positive impact on bank stocks in Central and Eastern Europe. It then highlights the importance of...

This paper investigates the impact of international swap lines on stock returns using data from banks in emerging markets. The analysis shows that swap lines by the Swiss National Bank (SNB) had a positive impact on bank stocks in Central and Eastern Europe. It then highlights the importance of...

The endeavor to understand bond returns and the term structure of interest rates has generated an extensive literature, ranging from papers on return predictability and affine term structure models to theoretical contributions in the form of equilibrium models. While most of the empirical...

In this paper, we offer a comprehensive analysis of the structure of the Dim Sum bond market. We show that Dim Sum bonds usually have a short maturity and that the market is dominated by issuers from the banking sector. In our analysis of the determinants of Dim Sum bond bid-ask spread, we find...

We find evidence for time-varying risk premia across international bond markets. Local and global factors jointly predict returns. The global factor is closely linked to US bond risk premia and international business cycles. Movements in the global factor seem to drive risk premia and expected...

Das Mitte Januar 2015 von der Schweizerischen Nationalbank verkündete Ende der Wechselkursuntergrenze des Frankens an den Euro führte zu erheblichen Verlusten bei deutschen Kommunen. Diese hatten in den vergangenen Jahren in nicht unerheblichem Umfang Kredite in Fremdwährungen, oftmals in...

In this paper, we analyze data on trends since 2000 in foreign holdings of government securities and other debt securities, with emphasis on Japan and developing Asia. We find that foreign residents generally increased their holdings of Asian debt securities during the sample period and in...

Debt mutualisation through Eurobonds has been proposed as a solution to the Euro crisis. Although this proposal found some support, it also attracted strong criticisms as it risks raising the spreads for strong countries, diluting legacy debt and promoting moral hazard by weak countries. Because...

Over the past three years, cross-border inflows into emerging market (EM) local currency bonds have surged. The returns on these bonds have moved more closely with those on international assets regarded as "safe", particularly following the euro area debt crisis. This paper first demonstrates...

During the 1930s, rating agencies took up a central role in regulatory supervision that they still have today. The proximate cause for this changeover was the economic shock of the Great Depression. Exploring the performance of rating agencies in assessing the risks of sovereign debt, an...

We study the multi-period asset allocation problem for emerging-market investors whose asset menu consists of stocks, bonds and bills. We consider two types of investors: domestic investors who invest in emerging-market assets only (with returns in local currency) and international investors who...

We study the multi-period asset allocation problem for emerging market investors whose asset menu consists of stocks, bonds and bills. We consider two types of emerging market investors: domestic investors (with returns in local currency) and international investors who can invest in US and...