Econ Papers Daily / 期刊论文
原罪再现：久期风险的作用
Original Sin Redux: Role of Duration Risk*
摘要
We highlight the role of duration and exchange rate risks on portfolio flows by using a unique and comprehensive database of U.S. investor flows into emerging market government bonds denominated in local currency. Borrowing long-term mitigates rollover risk but amplifies valuation changes that further interact with currency movements. Our analysis highlights the double-edged nature of long-term borrowing and draws attention to market stress dynamics due to strategic complementarities among mutual fund investors.
中文摘要
我们利用一个独特且全面的数据库，该数据库涵盖美国投资者流入以本币计价的新兴市场政府债券的资金流，以此强调久期风险和汇率风险对投资组合资金流的作用。长期借款可缓解展期风险，但会放大估值变动，而估值变动又会进一步与汇率波动相互作用。我们的分析凸显了长期借款的双刃剑性质，并提请关注因共同基金投资者之间的策略互补性所导致的市场压力动态。