Gubareva, M;
Chondrogiannis, I;
(2020)
Capital Gains Sensitivity of US BBB-Rated Debt to US Treasury Market: Markov-Switching Analyses.
Complexity
, 2020
, Article 4159053. 10.1155/2020/4159053.
![[thumbnail of 4159053.pdf]](https://discovery-pp.ucl.ac.uk/style/images/fileicons/text.png) |
Text
4159053.pdf - Published Version Download (1MB) |
Abstract
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. #is 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.
| Type: | Article |
|---|---|
| Title: | Capital Gains Sensitivity of US BBB-Rated Debt to US Treasury Market: Markov-Switching Analyses |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1155/2020/4159053 |
| Publisher version: | https://doi.org/10.1155/2020/4159053 |
| Language: | English |
| Additional information: | © 2020 Mariya Gubareva and Ilias Chondrogiannis. This is an open access article distributed under the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/). |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL SLASH UCL > Provost and Vice Provost Offices > UCL SLASH > SSEES |
| URI: | https://discovery-pp.ucl.ac.uk/id/eprint/10108944 |
Archive Staff Only
 |
View Item |
