Bond Risk Premia and The Exchange Rate
研究发现新兴市场中本币主权债券利差随本币对美元升值而收窄，源于信用风险溢价下降，揭示了全球投资者以美元评估回报时债券风险溢价与汇率的内生联动。
Abstract In emerging market economies, currency appreciation goes hand in hand with compressed sovereign bond spreads, even for local currency sovereign bonds. This yield compression comes from a reduction in the credit risk premium. Crucially, the relevant exchange rate involved in yield compression is the bilateral U.S. dollar exchange rate, not the trade‐weighted exchange rate. Our findings highlight endogenous co‐movement of bond risk premia and exchange rates through the portfolio choice of global investors who evaluate returns in dollar terms.