Domestic Elasticity of Default-Free Foreign Bonds

Modeling FX risk adjusted duration of foreign government bonds taking the viewpoint of a domestic investor interested in converting cash flows into domestic currency, we show that foreign bond portfolio managers who fail to adjust for FX risk in calculating duration of foreign sovereign debt observe...

Full description

Saved in:
Bibliographic Details
Published in:Journal of applied finance : JAF 2006-10, Vol.16 (2), p.174
Main Authors: Fooladi, Iraj J, Jacoby, Gady, Roberts, Gordon S, Wiener, Zvi
Format: Article
Language:English
Subjects:
Bond portfolios
Elasticity
Foreign exchange rate risk
Foreign investment
Government bonds
Sovereign debt
Studies
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
cited_by
cites
container_end_page
container_issue 2
container_start_page 174
container_title Journal of applied finance : JAF
container_volume 16
creator Fooladi, Iraj J
Jacoby, Gady
Roberts, Gordon S
Wiener, Zvi
description Modeling FX risk adjusted duration of foreign government bonds taking the viewpoint of a domestic investor interested in converting cash flows into domestic currency, we show that foreign bond portfolio managers who fail to adjust for FX risk in calculating duration of foreign sovereign debt observe duration with error and consequently engage in inefficient active rate-anticipation and immunization strategies. Using daily bond returns for sovereign issuers in five currencies observed between January 2000 and June 2005, we estimate FX-adjusted elasticity for different maturities. Our empirical findings indicate that FX-adjusted elasticity is significantly different from Macaulay unadjusted duration for all countries and all maturities. [PUBLICATION ABSTRACT]
format article
fullrecord <record><control><sourceid>proquest</sourceid><recordid>TN_cdi_proquest_journals_201494420</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>1284870631</sourcerecordid><originalsourceid>FETCH-LOGICAL-p585-4595d0fd39c23c6a99be3b13d188debe813cbd31f85c63ae9eabfeeebe0cd6113</originalsourceid><addsrcrecordid>eNotjr1OwzAURj2ARCm8g8VuyTfXdu0R2gaQKrF0r_xzXaUKcYmTgbcnCKYzfNL5zg1bgUYljDH2jt3XepESrJabFYNd-aQ6dZHve__LbvrmJfMdZT_3k2hHIt6WkbrzwF_KkOoDu82-r_T4zzU7tvvj9k0cPl7ft88HcdVWC6WdTjIndLHBaLxzgTAAJrA2USALGENCyFZHg54c-ZCJlkXGZABwzZ7-tNexfM1L4ulS5nFYHk-NBOWUaiT-AArcPxw</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>201494420</pqid></control><display><type>article</type><title>Domestic Elasticity of Default-Free Foreign Bonds</title><source>EconLit s plnými texty</source><source>EBSCOhost Business Source Ultimate</source><source>ABI/INFORM Global</source><creator>Fooladi, Iraj J ; Jacoby, Gady ; Roberts, Gordon S ; Wiener, Zvi</creator><creatorcontrib>Fooladi, Iraj J ; Jacoby, Gady ; Roberts, Gordon S ; Wiener, Zvi</creatorcontrib><description>Modeling FX risk adjusted duration of foreign government bonds taking the viewpoint of a domestic investor interested in converting cash flows into domestic currency, we show that foreign bond portfolio managers who fail to adjust for FX risk in calculating duration of foreign sovereign debt observe duration with error and consequently engage in inefficient active rate-anticipation and immunization strategies. Using daily bond returns for sovereign issuers in five currencies observed between January 2000 and June 2005, we estimate FX-adjusted elasticity for different maturities. Our empirical findings indicate that FX-adjusted elasticity is significantly different from Macaulay unadjusted duration for all countries and all maturities. [PUBLICATION ABSTRACT]</description><identifier>ISSN: 1534-6668</identifier><language>eng</language><publisher>Tampa: Financial Management Association International</publisher><subject>Bond portfolios ; Elasticity ; Foreign exchange rate risk ; Foreign investment ; Government bonds ; Sovereign debt ; Studies</subject><ispartof>Journal of applied finance : JAF, 2006-10, Vol.16 (2), p.174</ispartof><rights>Copyright Financial Management Association Fall 2006</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://www.proquest.com/docview/201494420/fulltextPDF?pq-origsite=primo$$EPDF$$P50$$Gproquest$$H</linktopdf><linktohtml>$$Uhttps://www.proquest.com/docview/201494420?pq-origsite=primo$$EHTML$$P50$$Gproquest$$H</linktohtml><link.rule.ids>314,780,784,11688,36060,44363,74895</link.rule.ids></links><search><creatorcontrib>Fooladi, Iraj J</creatorcontrib><creatorcontrib>Jacoby, Gady</creatorcontrib><creatorcontrib>Roberts, Gordon S</creatorcontrib><creatorcontrib>Wiener, Zvi</creatorcontrib><title>Domestic Elasticity of Default-Free Foreign Bonds</title><title>Journal of applied finance : JAF</title><description>Modeling FX risk adjusted duration of foreign government bonds taking the viewpoint of a domestic investor interested in converting cash flows into domestic currency, we show that foreign bond portfolio managers who fail to adjust for FX risk in calculating duration of foreign sovereign debt observe duration with error and consequently engage in inefficient active rate-anticipation and immunization strategies. Using daily bond returns for sovereign issuers in five currencies observed between January 2000 and June 2005, we estimate FX-adjusted elasticity for different maturities. Our empirical findings indicate that FX-adjusted elasticity is significantly different from Macaulay unadjusted duration for all countries and all maturities. [PUBLICATION ABSTRACT]</description><subject>Bond portfolios</subject><subject>Elasticity</subject><subject>Foreign exchange rate risk</subject><subject>Foreign investment</subject><subject>Government bonds</subject><subject>Sovereign debt</subject><subject>Studies</subject><issn>1534-6668</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2006</creationdate><recordtype>article</recordtype><sourceid>M0C</sourceid><recordid>eNotjr1OwzAURj2ARCm8g8VuyTfXdu0R2gaQKrF0r_xzXaUKcYmTgbcnCKYzfNL5zg1bgUYljDH2jt3XepESrJabFYNd-aQ6dZHve__LbvrmJfMdZT_3k2hHIt6WkbrzwF_KkOoDu82-r_T4zzU7tvvj9k0cPl7ft88HcdVWC6WdTjIndLHBaLxzgTAAJrA2USALGENCyFZHg54c-ZCJlkXGZABwzZ7-tNexfM1L4ulS5nFYHk-NBOWUaiT-AArcPxw</recordid><startdate>20061001</startdate><enddate>20061001</enddate><creator>Fooladi, Iraj J</creator><creator>Jacoby, Gady</creator><creator>Roberts, Gordon S</creator><creator>Wiener, Zvi</creator><general>Financial Management Association International</general><scope>3V.</scope><scope>7WY</scope><scope>7WZ</scope><scope>7XB</scope><scope>87Z</scope><scope>885</scope><scope>8AO</scope><scope>8FK</scope><scope>8FL</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>ANIOZ</scope><scope>BENPR</scope><scope>BEZIV</scope><scope>CCPQU</scope><scope>DWQXO</scope><scope>FRAZJ</scope><scope>FRNLG</scope><scope>F~G</scope><scope>K60</scope><scope>K6~</scope><scope>L.-</scope><scope>M0C</scope><scope>M1F</scope><scope>PQBIZ</scope><scope>PQBZA</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>PRINS</scope><scope>PYYUZ</scope><scope>Q9U</scope><scope>S0X</scope></search><sort><creationdate>20061001</creationdate><title>Domestic Elasticity of Default-Free Foreign Bonds</title><author>Fooladi, Iraj J ; Jacoby, Gady ; Roberts, Gordon S ; Wiener, Zvi</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-p585-4595d0fd39c23c6a99be3b13d188debe813cbd31f85c63ae9eabfeeebe0cd6113</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2006</creationdate><topic>Bond portfolios</topic><topic>Elasticity</topic><topic>Foreign exchange rate risk</topic><topic>Foreign investment</topic><topic>Government bonds</topic><topic>Sovereign debt</topic><topic>Studies</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Fooladi, Iraj J</creatorcontrib><creatorcontrib>Jacoby, Gady</creatorcontrib><creatorcontrib>Roberts, Gordon S</creatorcontrib><creatorcontrib>Wiener, Zvi</creatorcontrib><collection>ProQuest Central (Corporate)</collection><collection>ABI/INFORM Collection</collection><collection>ABI/INFORM Global (PDF only)</collection><collection>ProQuest Central (purchase pre-March 2016)</collection><collection>ABI/INFORM Global (Alumni Edition)</collection><collection>Banking Information Database (Alumni Edition)</collection><collection>ProQuest Pharma Collection</collection><collection>ProQuest Central (Alumni) (purchase pre-March 2016)</collection><collection>ABI/INFORM Collection (Alumni Edition)</collection><collection>ProQuest Central (Alumni)</collection><collection>ProQuest Central</collection><collection>Accounting, Tax &amp; Banking Collection</collection><collection>ProQuest Central</collection><collection>ProQuest Business Premium Collection</collection><collection>ProQuest One Community College</collection><collection>ProQuest Central</collection><collection>Accounting, Tax &amp; Banking Collection (Alumni)</collection><collection>Business Premium Collection (Alumni)</collection><collection>ABI/INFORM Global (Corporate)</collection><collection>ProQuest Business Collection (Alumni Edition)</collection><collection>ProQuest Business Collection</collection><collection>ABI/INFORM Professional Advanced</collection><collection>ABI/INFORM Global</collection><collection>Banking Information Database</collection><collection>ProQuest One Business</collection><collection>ProQuest One Business (Alumni)</collection><collection>ProQuest One Academic Eastern Edition (DO NOT USE)</collection><collection>ProQuest One Academic</collection><collection>ProQuest One Academic UKI Edition</collection><collection>ProQuest Central China</collection><collection>ABI/INFORM Collection China</collection><collection>ProQuest Central Basic</collection><collection>SIRS Editorial</collection><jtitle>Journal of applied finance : JAF</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Fooladi, Iraj J</au><au>Jacoby, Gady</au><au>Roberts, Gordon S</au><au>Wiener, Zvi</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Domestic Elasticity of Default-Free Foreign Bonds</atitle><jtitle>Journal of applied finance : JAF</jtitle><date>2006-10-01</date><risdate>2006</risdate><volume>16</volume><issue>2</issue><spage>174</spage><pages>174-</pages><issn>1534-6668</issn><abstract>Modeling FX risk adjusted duration of foreign government bonds taking the viewpoint of a domestic investor interested in converting cash flows into domestic currency, we show that foreign bond portfolio managers who fail to adjust for FX risk in calculating duration of foreign sovereign debt observe duration with error and consequently engage in inefficient active rate-anticipation and immunization strategies. Using daily bond returns for sovereign issuers in five currencies observed between January 2000 and June 2005, we estimate FX-adjusted elasticity for different maturities. Our empirical findings indicate that FX-adjusted elasticity is significantly different from Macaulay unadjusted duration for all countries and all maturities. [PUBLICATION ABSTRACT]</abstract><cop>Tampa</cop><pub>Financial Management Association International</pub></addata></record>
fulltext fulltext
identifier ISSN: 1534-6668
ispartof Journal of applied finance : JAF, 2006-10, Vol.16 (2), p.174
issn 1534-6668
language eng
recordid cdi_proquest_journals_201494420
source EconLit s plnými texty; EBSCOhost Business Source Ultimate; ABI/INFORM Global
subjects Bond portfolios
Elasticity
Foreign exchange rate risk
Foreign investment
Government bonds
Sovereign debt
Studies
title Domestic Elasticity of Default-Free Foreign Bonds
url http://sfxeu10.hosted.exlibrisgroup.com/loughborough?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-04T12%3A11%3A50IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Domestic%20Elasticity%20of%20Default-Free%20Foreign%20Bonds&rft.jtitle=Journal%20of%20applied%20finance%20:%20JAF&rft.au=Fooladi,%20Iraj%20J&rft.date=2006-10-01&rft.volume=16&rft.issue=2&rft.spage=174&rft.pages=174-&rft.issn=1534-6668&rft_id=info:doi/&rft_dat=%3Cproquest%3E1284870631%3C/proquest%3E%3Cgrp_id%3Ecdi_FETCH-LOGICAL-p585-4595d0fd39c23c6a99be3b13d188debe813cbd31f85c63ae9eabfeeebe0cd6113%3C/grp_id%3E%3Coa%3E%3C/oa%3E%3Curl%3E%3C/url%3E&rft_id=info:oai/&rft_pqid=201494420&rft_id=info:pmid/&rfr_iscdi=true