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Article

Шоки спреда доходности на быстрорастущих рынках облигаций: роль волатильности

Финансовый бизнес. 2016. № 1(180). С. 59-66.
Сувейка Ш. М.

The main question in emerging markets corporate bond spread analysis remains the origin of systematic shocks. Usually authors don’t pay enough attention to this source of risk and simply declare it as systematic just because their models cannot explain the full spread. Here we propose an alternative approach based on volatility parameters: VIX as global factor (controlling for risk aversion) and exchange rate volatility (as internal systematic factor). Econometric analysis shows that about 47% of spread can be explained by model and these factors can be viewed as base sources of systematic shocks on corporate bond emerging markets.