国际清算银行-风险能力、投资组合选择和汇率（英）-2022.7

# 风险 # 投资 # 汇率大小：1.11M | 页数：37 | 上架时间：2022-07-20 | 语言：英文

国际清算银行-风险能力、投资组合选择和汇率（英）-2022.7.pdf

国际清算银行-风险能力、投资组合选择和汇率（英）-2022.7.pdf

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类型: 专题

上传者: 资料分享客栈

撰写机构: 国际清算银行

出版日期: 2022-07-14

摘要：

We lay out a model of risk capacity for global portfolio investors in which swings

in exchange rates can a¤ect their risk-taking capacity in a Value-at-Risk framework.

Exchange rate uctuations induce shifts in portfolio holdings of global investors,

even in the absence of currency mismatches on the part of the borrowers. A cur-

rency appreciation for an emerging market borrower that is part of a broad-based

appreciation of emerging market currencies leads to larger bond portfolio inows

than the equivalent appreciation in the absence of a broad-based appreciation. As

such, the broad dollar index emerges as a global factor in bond portfolio ows. The

empirical evidence strongly supports the predictions of the model.

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