Investing in emerging market local currency debt

Benoît Mercereau () and Alexandra Lubomira Sowa
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Benoît Mercereau: Sinopia Asset Management

Journal of Asset Management, 2008, vol. 9, issue 1, No 4, 48 pages

Abstract: Abstract Emerging market government debt in local currency is a fast growing asset class. The asset class is new and it therefore offers attractive opportunities for active management. Good data and relatively stable economies make quantitative models for local currency debt reasonable. We suggest a valuation model for local currency debt. The model relates long-term interest rates to economic fundamentals. Our model explains emerging market interest rates reasonably well. An investment strategy based on the model seems promising. Our results suggest that models are useful for investing in emerging market local currency debt.

Keywords: emerging markets; fixed income; local currency debt; bond model (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1057/jam.2008.2

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