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Investor Redemptions and Fund Manager Sales of Emerging Market Bonds : How are They Related?
Shek, Jimmy - 2015
Lending to emerging market economies (EMEs) through bond purchases has surged since 2009. What are the risks of a sudden stop? Bond mutual funds may curtail credit through two channels. The first is redemptions by ultimate investors. The second is additional discretionary sales by fund managers,...
Persistent link: https://www.econbiz.de/10013016995
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Dollar Beta and Stock Returns
Bruno, Valentina; Shim, Ilhyock; Shin, Hyun Song - 2022
The financial channel of exchange rates operates through changes in risk-taking by investors and is reflected in the response of financial conditions to exchange rate movements. We show that stock returns also reflect the financial channel of exchange rates, with higher local currency stock...
Persistent link: https://www.econbiz.de/10013308935
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Redemption Risk and Cash Hoarding by Asset Managers
Morris, Stephen - 2017
Open-end mutual funds face redemptions by investors, but the sale of the underlying assets depends on the portfolio decision of asset managers. If asset managers use their cash holding as a buffer to meet redemptions, they can mitigate fire sales of the underlying asset. If they hoard cash in...
Persistent link: https://www.econbiz.de/10012964215
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Bond Risk Premia and the Exchange Rate
Hofmann, Boris - 2019
In emerging market economies, currency appreciation goes hand in hand with compressed sovereign bond spreads, even for local currency sovereign bonds. This yield compression comes from a reduction in the credit risk premium. Crucially, the relevant exchange rate involved in yield compression is...
Persistent link: https://www.econbiz.de/10012890367
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Sovereign Yields and the Risk-Taking Channel of Currency Appreciation
Hofmann, Boris - 2017
Currency appreciation against the US dollar is associated with the compression of emerging market economy (EME) sovereign yields. We find that this yield compression is due to reduced risk premiums rather than expectations of interest rates already priced into forward rates. We explore a model...
Persistent link: https://www.econbiz.de/10012970268
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Outward portfolio investment and dollar funding in emerging Asia
McGuire, Patrick; Shim, Ilhyock; Shin, Hyun Song; … - 2022
The growing heft of institutional investors and asset managers in several Asian economies hasfuelled expansion in outward portfolio investment, mainly in US dollar-denominated assets. Thisinvestment is predominantly in long-term instruments but is hedged for currency risk mainlythrough...
Persistent link: https://www.econbiz.de/10013301609
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Risk capacity, portfolio choice and exchange rates
Hofmann, Boris; Shim, Ilhyock; Shin, Hyun Song - 2022
We lay out a model of risk capacity for global portfolio investors in which swings in exchange rates can affect their risk-taking capacity in a Value-at-Risk framework. Exchange rate fluctuations induce shifts in portfolio holdings of global investors, even in the absence of currency mismatches...
Persistent link: https://www.econbiz.de/10013306223
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Exploring the Dynamics of Global Liquidity
Chen, Sally - 2012
This paper explores the concept of global liquidity, its measurement and macro-financial importance. We construct two … sets of indicators for global liquidity: a quantity series distinguishing between core and noncore liabilities of financial … between shocks to the supply and demand for global liquidity, and isolate their impact on the economy. Our results confirm …
Persistent link: https://www.econbiz.de/10013098562
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Currency Depreciation and Emerging Market Corporate Distress
Bruno, Valentina - 2019
How do emerging market corporates fare during periods of currency depreciation? We find that non-financial firms that exploit favorable global financing conditions to issue US dollar bonds and build cash balances are also those whose share price is most vulnerable to local currency depreciation....
Persistent link: https://www.econbiz.de/10012896706
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Currency Depreciation and Emerging Market Corporate Distress
Bruno, Valentina - 2017
How do emerging market corporates fare during periods of currency depreciation? We find that non-financial firms that exploit favourable global financing conditions to issue US dollar bonds and build cash balances are also those whose share price is most vulnerable to local currency...
Persistent link: https://www.econbiz.de/10012967053