Template-Type: ReDIF-Paper 1.0
Author-Name: Carol Bertaut
Author-X-Name-First: Carol
Author-X-Name-Last: Bertaut
Author-Name: Valentina Bruno
Author-X-Name-First: Valentina
Author-X-Name-Last: Bruno
Author-Name: Hyun Song Shin
Author-X-Name-First: Hyun
Author-X-Name-Last: Song Shin 
Title: Original sin redux: role of duration risk
Abstract: We highlight the role of duration and exchange rate risks on portfolio flows by using a unique and comprehensive database of US investor flows into emerging market government bonds denominated in local currency. Borrowing long-term mitigates roll-over risk but amplifies valuation changes that further interact with currency movements. Our analysis highlights the double-edged nature of long-term borrowing and draws attention to market stress dynamics from the nonbank financial sector.
Creation-Date: 2023-07
File-URL: https://www.bis.org/publ/work1109.pdf
File-Format: Application/pdf
File-Function: Full PDF document
File-URL: https://www.bis.org/publ/work1109.htm
File-Format: text/html
Number: 1109
Keywords: portfolio flows, local currency bonds, non-bank financial intermediaries
Classification-JEL: F65, G23, H63
Handle: RePEc:bis:biswps:1109