Exchange rate risk and price of government bonds: A test of international arbitrage pricing theory

被引：0
|
作者：
Francova, Blanka [1 ]
机构：
[1] Mendel Univ Brno, Fac Business & Econ, Dept Econ, Zemedelska 1, Brno 61300, Czech Republic
来源：
ENTERPRISE AND COMPETITIVE ENVIRONMENT | 2017年
关键词：
Bonds; Exchange Rate; Asset Pricing; Risk Premium; RETURNS;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Currently interest rates are very low in the economies. In these economies are issued bonds with low yield or negative yield. In this paper, I empirically investigate what factors affect price of bonds and why investors buy investment without yield. I follow the international arbitrage pricing theory to determine relationship between factors and price of bonds. Data are monthly of government bonds in the period 2010-2015. Exchange risk influence prices of bonds. Currency movements can bring next yield for investors.
引用
收藏
页码：261 / 267
页数：7
相关论文
共 50 条
  • [1] Exchange risk and universal returns: A test of international arbitrage pricing theory
    Armstrong, Will J.
    Knif, Johan
    Kolari, James W.
    Pynnonen, Seppo
    [J]. PACIFIC-BASIN FINANCE JOURNAL, 2012, 20 (01) : 24 - 40
  • [2] GOVERNMENT BOND RETURNS, MEASUREMENT OF INTEREST-RATE RISK, AND THE ARBITRAGE PRICING THEORY
    GULTEKIN, NB
    ROGALSKI, RJ
    [J]. JOURNAL OF FINANCE, 1985, 40 (01): : 43 - 61
  • [3] INTERNATIONAL ARBITRAGE PRICING THEORY
    SOLNIK, B
    [J]. JOURNAL OF FINANCE, 1983, 38 (02): : 449 - 457
  • [4] Liquidity risk and arbitrage pricing theory
    Çetin, U
    Jarrow, RA
    Protter, P
    [J]. FINANCE AND STOCHASTICS, 2004, 8 (03) : 311 - 341
  • [5] Liquidity risk and arbitrage pricing theory
    Umut Çetin
    Robert A. Jarrow
    Philip Protter
    [J]. Finance and Stochastics, 2004, 8 : 311 - 341
  • [6] Risk-Neutral Pricing for Arbitrage Pricing Theory
    Carassus, Laurence
    Rasonyi, Miklos
    [J]. JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 2020, 186 (01) : 248 - 263
  • [7] Risk-Neutral Pricing for Arbitrage Pricing Theory
    Laurence Carassus
    Miklós Rásonyi
    [J]. Journal of Optimization Theory and Applications, 2020, 186 : 248 - 263
  • [8] ARBITRAGE ASSET PRICING UNDER EXCHANGE RISK
    IKEDA, S
    [J]. JOURNAL OF FINANCE, 1991, 46 (01): : 447 - 455
  • [9] Pricing of interest rate guarantees:: Is the arbitrage free price fair?
    Dag, S
    Pål, L
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2003, 32 (01): : 173 - 173
  • [10] INTERNATIONAL ARBITRAGE PRICING THEORY - AN EMPIRICAL-INVESTIGATION
    ABEYSEKERA, SP
    MAHAJAN, A
    [J]. SOUTHERN ECONOMIC JOURNAL, 1990, 56 (03) : 760 - 773
12345