Original sin redux: role of duration risk

Carol Bertaut, Valentina Bruno and Hyun Song Shin

No 1109, BIS Working Papers from Bank for International Settlements

Abstract: We highlight the role of duration and exchange rate risks on portfolio flows by using a unique and comprehensive database of US investor flows into emerging market government bonds denominated in local currency. Borrowing long-term mitigates roll-over risk but amplifies valuation changes that further interact with currency movements. Our analysis highlights the double-edged nature of long-term borrowing and draws attention to market stress dynamics from the nonbank financial sector.

Keywords: portfolio flows; local currency bonds; non-bank financial intermediaries (search for similar items in EconPapers)
JEL-codes: F65 G23 H63 (search for similar items in EconPapers)
Date: 2023-07
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
https://www.bis.org/publ/work1109.pdf Full PDF document (application/pdf)
https://www.bis.org/publ/work1109.htm (text/html)

Related works:
Working Paper: Original Sin Redux: Role of Duration Risk (2024)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bis:biswps:1109

Access Statistics for this paper

More papers in BIS Working Papers from Bank for International Settlements Contact information at EDIRC.
Bibliographic data for series maintained by Martin Fessler (webmaster@bis.org).