新兴市场企业债务的流动性管理

Journal of Fixed Income Pub Date : 2023-03-21 DOI:10.3905/jfi.2023.1.159

Desislava Vladimirova, Dirk Schiereck, Maximilian Stroh

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引用次数: 0

摘要

新兴市场公司债券被认为具有吸引人的多样化潜力和风险调整后的回报，但缺乏流动性。本研究通过解决一个三角结构系统来检验新兴市场债务的流动性，从而扩展了经验证据。我们发现新兴市场债券流动性既与发达市场有共同的决定因素，又受到宏观经济因素的影响。由于整体流动性水平低于发达市场，我们提出了一个流动性估计模型，该模型允许系统因素投资者在COVID-19大流行期间将其投资组合中非流动性资产的份额减少约3个百分点和10个百分点。

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Managing Liquidity of Emerging Markets Corporate Debt

Emerging market corporate bonds are perceived to offer attractive diversification potential and risk-adjusted returns, but to be illiquid. This study expands the empirical evidence by examining the liquidity of emerging market debt by solving a triangular structured system. We find emerging market bond liquidity both to share common determinants with developed markets and be influenced by macroeconomic factors. As the overall level of liquidity is lower than in developed markets, we propose a liquidity estimation model, which allows systematic factor investors to decrease the share of illiquid assets in their portfolio by roughly 3 percentage points and 10 percentage points during the COVID-19 pandemic.

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来源期刊

Journal of Fixed Income Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.10

自引率

0.00%

发文量

期刊介绍： The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.