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Capital Gains Sensitivity of US BBB-Rated Debt to US Treasury Market: Markov-Switching Analyses
Joint Authors
Gubareva, Mariya
Chondrogiannis, Ilias
Source
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-08-26
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Gubareva, Mariya& Chondrogiannis, Ilias. 2020. Capital Gains Sensitivity of US BBB-Rated Debt to US Treasury Market: Markov-Switching Analyses. Complexity،Vol. 2020, no. 2020, pp.1-13.
https://search.emarefa.net/detail/BIM-1141817
Modern Language Association (MLA)
Gubareva, Mariya& Chondrogiannis, Ilias. Capital Gains Sensitivity of US BBB-Rated Debt to US Treasury Market: Markov-Switching Analyses. Complexity No. 2020 (2020), pp.1-13.
https://search.emarefa.net/detail/BIM-1141817
American Medical Association (AMA)
Gubareva, Mariya& Chondrogiannis, Ilias. Capital Gains Sensitivity of US BBB-Rated Debt to US Treasury Market: Markov-Switching Analyses. Complexity. 2020. Vol. 2020, no. 2020, pp.1-13.
https://search.emarefa.net/detail/BIM-1141817
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1141817