TY - JOUR
T1 - Dollar debt and equity returns
AU - Braymen, Charles
AU - Obonyo, Tirimba
AU - Woessner, Nicholas E.
N1 - Publisher Copyright:
© 2020, © 2020 Informa UK Limited, trading as Taylor & Francis Group.
Copyright:
Copyright 2020 Elsevier B.V., All rights reserved.
PY - 2020
Y1 - 2020
N2 - This article examines the relationship between US dollar-denominated debt and the correlations between the equity markets of 31 countries from 2007 to 2016. Our results indicate that the balance sheet mismatch imposed by the issuance of dollar-denominated debt by foreign firms leads to a common risk factor that extends across international boundaries. These results suggest that dollar-denominated debt should be considered in the design of internationally diversified equity portfolios alongside other factors of economic integration such as trade and foreign direct investment.
AB - This article examines the relationship between US dollar-denominated debt and the correlations between the equity markets of 31 countries from 2007 to 2016. Our results indicate that the balance sheet mismatch imposed by the issuance of dollar-denominated debt by foreign firms leads to a common risk factor that extends across international boundaries. These results suggest that dollar-denominated debt should be considered in the design of internationally diversified equity portfolios alongside other factors of economic integration such as trade and foreign direct investment.
UR - http://www.scopus.com/inward/record.url?scp=85088272443&partnerID=8YFLogxK
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U2 - 10.1080/13504851.2020.1795066
DO - 10.1080/13504851.2020.1795066
M3 - Article
AN - SCOPUS:85088272443
SP - 1
EP - 5
JO - Applied Economics Letters
JF - Applied Economics Letters
SN - 1350-4851
ER -