Шоки спреда доходности на быстрорастущих рынках облигаций: роль волатильности
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.
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 . 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.
We examine the role of exchange rate (ER) and political environment (PE) alterations in determining Japanese Multinational Companies’ (MNCs) investment decisions. First, we present a model where MNCs make an investment decision under uncertainty. Second, we employ a panel data analysis of 56 developed and developing countries for the period of 1995–2012 (country and industry level). The main findings show that MNCs are less likely to tolerate exchange rate risk and political risk in developing countries. However, they may tolerate these risks in developed countries if the level of initial stability is far enough than their essential need. Results of the cross-effect analysis imply a complementarity of these risks. The impact of ER expectation remained ambiguous. Various interpretations and mechanisms are discussed.
Stability of the national currency exchange rate is an important factor for sustainable economic growth. A number of papers demonstrate that in the oil exporting countries currency exchange rate to the large extent is defined by the international oil prices. However, there are almost no papers which consider dependence of the exchange rate volatility on the volatility of oil prices. In this paper, we use one-dimensional GARCH models and two-dimensional VAR-BEKK models to analyze the dependence of the ruble exchange rate volatility on the oil price volatility. We found out that this dependence is not constant in time and depends on various macroeconomic factors. This dependence significantly increases when oil prices are low and weakens when oil prices are high. The introduction of sanctions has increased the volatility of the ruble exchange rate. Sanctions have also increased the dependence of the ruble exchange rate volatility on oil price volatility. It is also shown that the impact of sanctions decreases with time, what can be interpreted as an adaptation of the Russian economy to sanctions.
Smoking is a problem, bringing signifi cant social and economic costs to Russiansociety. However, ratifi cation of the World health organization Framework conventionon tobacco control makes it possible to improve Russian legislation accordingto the international standards. So, I describe some measures that should be taken bythe Russian authorities in the nearest future, and I examine their effi ciency. By studyingthe international evidence I analyze the impact of the smoke-free areas, advertisementand sponsorship bans, tax increases, etc. on the prevalence of smoking, cigaretteconsumption and some other indicators. I also investigate the obstacles confrontingthe Russian authorities when they introduce new policy measures and the public attitudetowards these measures. I conclude that there is a number of easy-to-implementanti-smoking activities that need no fi nancial resources but only a political will.
One of the most important indicators of company's success is the increase of its value. The article investigates traditional methods of company's value assessment and the evidence that the application of these methods is incorrect in the new stage of economy. So it is necessary to create a new method of valuation based on the new main sources of company's success that is its intellectual capital.