欢迎来到天天文库
浏览记录
ID:8224807
大小:946.08 KB
页数:16页
时间:2018-03-10
《德银-新兴市场-金融市场-新兴市场固定收益:谁最暴露?》由会员上传分享,免费在线阅读,更多相关内容在行业资料-天天文库。
1、DeutscheBankMarketsResearchEmergingMarketsRatesDateGov.Bonds&Swaps16January2018InflationRatesVolatilityChristianWietoskaStrategistEMFixedIncome(+44)20754-52424christian.wietoska@db.comWhoismostexposed?Betastocore-GuilhermeMaroneStrategistrates-update3.0(+1)212250-8640guilherme.marone@db.com
2、Theimportanceofbetastocore-ratesThedevelopmentofUS-treasuriesremainsoneofthemostimportant(external)driversofEMFixedIncomeSwapnilKalbandemarkets.Asshowninpreviouspublicationsonthistopic(seeWhattheStrategistbetastocoreratesaretellingus),thesensitivityofEMFixedIncome(+65)64235925marketstoUS-t
3、reasuriesparticularlyincreasesduringbearishcore-rateswapnil.kalbande@db.commovesand/orinthecaseofsharpincreasesinmarketvolatility.Giventhemarket’sconvergencetoDB’sQ1forecast,theDBratesteamseessomescopeforconsolidation.Nevertheless,theteamkeepsitsbearishbiasforcore-rates.Thehouseviewsees10Y
4、treasuriesat2.95%byyear-end,whichimpliesa40bpsellofffromcurrentlevelsandmoreimportantly,a~25bpoutperformancevs.forwards.Inthisanalysis,weupdatebetasinEMfixedincomemarketstoUSrates.Wehighlightcountriesprovidinghigh/lowbetastoUSrates.Inaddition,weanalyseinwhichcountriesthecurrentbeta(90d)isa
5、lreadywellabove(below)thelong-term(LT)average,providingbetter(worse)protectionagainstanyUS-repricing.Why?Wefoundthat90dbetas+/-1stdevbelow/abovetheLTaveragetendtosharplyovershootintheotherdirectionoversubsequentmonths.Hence,short-termbetasvs.long-termbetasmatterinparticularwhentheyreachextr
6、emelevels.ThisisthethirdstandalonepublicationonEMfixedincomebetastocore-rates.Summaryoffindings:LTbetas:Mexico,BrazilandIsraelprovidethehighestbetastoUS-treasuriesacrossEM.Ontheotherhand,thesensitivityisparticularlylowinRomania,MalaysiaandIndia.Currentbetas:Current90dbetasshowaslightlydif
7、ferentpicturethanlong-termbetas.TheyareparticularlyhighinBrazil–followingtherecentsharpincrease–butalsoinPolandandHungary.BetasareparticularlylowinChileandTurkey.Stretchedlevels:AcrossEMFixedIncome,currentbetasareatextremelyhighlevelscomparedtoLTbetasin
此文档下载收益归作者所有