A regional factor approach to project term structures of emerging local currency sovereign bonds

机译：新兴当地货币主权债券的项目术语结构的区域因素方法

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To project term structures for a comprehensive set of emerging local currency sovereign bond markets, we propose to extend the dynamic Nelson-Siegel term structure model with regional and economy-specific factors. In the presence of comparably short data histories for most emerging bond markets, this approach results in yield curve projections consistent across markets and in line with historical experience.

机译：对项目期限结构进行全面的新兴当地货币主权债券市场，我们建议将动态纳尔逊 - 塞格尔术语结构模型扩展到区域和经济特定因素。在大多数新出现的债券市场存在相对的短数据历史中，这种方法导致横跨市场的产量曲线预测和符合历史经验。

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来源
《Joint BIS/World Bank Public Investors Conference》|2015年||共26页
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作者
Joachim Coche; Lillie Lam; Vahe Sahakyan;
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中图分类金融、银行;
关键词
Term structure of interest rates; emerging markets; local currency sovereign bonds;

机译：利率术语结构;新兴市场;当地货币主权债券;

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1. Decomposing the term structures of local currency sovereign bond yields and sovereign credit default swap spreads [J] . Tsuruta Masaru The North American journal of economics and finance . 2020,第Jana期

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2. Emerging market local currency sovereign bond yields: The role of exchange rate risk [J] . Gadanecz Blaise, Miyajima Ken, Shu Chang International review of economics & finance . 2018,第SEPa期

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3. AN ADMISSIBLE TERM STRUCTURE MODEL OF SOVEREIGN YIELD SPREADS WITH MACRO FACTORS: THE CASE OF BRAZILIAN GLOBAL BONDS [J] . ZHUOSHI LIU, PETER SPENCER The Manchester school . 2009,第suppla期

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4. A regional factor approach to project term structures of emerging local currency sovereign bonds [C] . Joachim Coche, Lillie Lam, Vahe Sahakyan Joint BIS/World Bank Public Investors Conference . 2015

机译：新兴当地货币主权债券的项目术语结构的区域因素方法
5. Impact of Foreign Investor Participation on Emerging Market Local Currency Government Bond Yields [D] . Unal, Nihan. 2018

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6. Identification of the HS (Health and Safety Factors) Involved in Infrastructure Projects in Developing Countries-A Sequential Mixed Method Approach of OLMT-Project [O] . Ahsan Nawaz, Xing Su, Qaiser Mohi Ud Din, 2020

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7. A Regional Factor Approach to Project Term Structures of Emerging Local Currency Sovereign Bonds [O] . Coche Joachim, Lam Lillie, Sahakyan Vahe 2015

机译：新兴本地货币主权债券项目期限结构的区域因素法

A regional factor approach to project term structures of emerging local currency sovereign bonds

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