Valuation of government bonds: The exchange rate is an important aspect

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F17%3A43912777" target="_blank" >RIV/62156489:43110/17:43912777 - isvavai.cz</a>

Výsledek na webu

<a href="https://doi.org/10.11118/actaun201765061911" target="_blank" >https://doi.org/10.11118/actaun201765061911</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.11118/actaun201765061911" target="_blank" >10.11118/actaun201765061911</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Valuation of government bonds: The exchange rate is an important aspect

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Valuation of government bonds: The exchange rate is an important aspect

Popis výsledku anglicky

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.

Druh

J_SC - Článek v periodiku v databázi SCOPUS

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/GA16-26353S" target="_blank" >GA16-26353S: Sentiment a jeho vliv na akciové trhy</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2017

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

ISSN

1211-8516

e-ISSN

—

Svazek periodika

65

Číslo periodika v rámci svazku

6

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

6

Strana od-do

1911-1916

Kód UT WoS článku

—

EID výsledku v databázi Scopus

2-s2.0-85038815711