Capital Gains Sensitivity of US BBB-Rated Debt to US Treasury Market: Markov-Switching Analyses

被引：1

作者：

Gubareva, Mariya ^{[1
,2
]}

Chondrogiannis, Ilias ^{[3
]}

机构：

[1] Inst Politecn Lisboa, ISCAL Lisbon Accounting & Business Sch, Av Miguel Bombarda 20, P-1069035 Lisbon, Portugal

[2] SOCIUS CSG Res Social Sci & Management, Rua Miguel Lupi 20, P-1249078 Lisbon, Portugal

[3] UCL Univ Coll London, Sch Slavon & East European Studies, 16 Taviton St, London WC1H 0BW, England

来源：

COMPLEXITY | 2020年 / 2020卷

关键词：

Financial markets;

D O I：

10.1155/2020/4159053

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We reexamine the relationship between credit spreads and interest rates from a capital gain perspective of bond portfolio. Capital gain sensitivity between US BBB-rated bonds and Treasury bonds is weak and positive in normal periods, but strong and negative during recessions. In the upward phase of business cycles, changes in interest rates are fully reflected in the bond yields, leaving spreads unchanged, while in the downward phase, rates and spreads move in opposite directions. This alternation between two distinct regimes reconciles a long-standing division in the literature. We then discuss the efficiency of shorting Treasury bonds as a hedging strategy and policy suggestions.

引用

页数：13