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
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