This study addresses interest rate sensitivity of emerging market corporate debt. Previous
research suggests that interest rate sensitivity of corporate bonds depends on residual …

This research revisits the economic capital management regarding banking books of
financial institutions exposed to the emerging market sovereign debt. We develop a …

We study the effects of a conventional monetary expansion, quantitative easing, and the
maturity extension program on corporate bond yields using impulse response functions …

We provide an empirical study on the sensitivity of capital gains of emerging market financial
sector debts to the US Treasury market in a three‐state Markov‐switching framework …

This study utilizes the nonlinear ARDL (NARDL) model proposed by Shin, Yu, and
Greenwood-Nimmo (2014) to quantify the potentially asymmetric transmission of positive …

We analyze the long-run impact of sovereign yields on corporate yields of the same country,
finding that, for emerging markets, the average pass-through is around one. The pass …

We develop a framework to assess interest rate sensitivities of emerging market corporate
debt. Our analysis, based on yield indexes, is applied to investment grade and high yield …

The Journal of Fixed Income (JFI) provides sophisticated analytical research and case
studies on bond instruments of all types—investment grade, high-yield, municipals, ABS and …

We study interest rate sensitivities of US investment grade BBB-rated and high yield
corporate bonds over the period of 2001–2016. Our methodology assesses the capital gains …

We revisit the link between interest rates and corporate bond credit spreads by applying
Rigobon's (2003) unique heteroskedasticity-based identification methodology to their …