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Article

Оценка зависимости спрэда доходности корпоративных облигаций от динамики валютного курса (на примере рынка облигаций РФ)

Финансовый бизнес. 2015. № 4(177). С. 54-63.
Сувейка Ш. М.

In this paper we analyze what are the channels of exchange rate dynamics effect on corporate bond yield spread. Under the uncovered interest rate parity (UIP) exchange rate level and interest rates are linked so that the yields in two countries are equal. There is an evidence in literature that exchange rate volatility also plays an important role in economic output, but our investigation argue that it is also a key factor in interest rate analysis. Scenario, graphic and regression analysis shows that exchange rate level influence the risk-free yield (government bond yield) while the volatility of exchange rate affect risky corporate bond yield. So that exchange rate volatility has a positive effect on corporate bond yield spread and the hypothesis is that this effect is realized via default risk inflation. One of the most efficient credit risk models are reduced-form models, in particular the Duffie-Singleton model [1999]. When calibrating to real market data and incorporating exchange rate volatility in the model it argues that the greater the volatility of exchange rate, the greater the risk of default. The contribution of our paper to the literature is that it states the dual nature of exchange rate dynamics impact on corporate bond yield spread via the level and volatility, the latter affecting through the rising default risk.