【行业研报】国际清算银行-原罪还原：持续时间风险的作用（英）-2023.7_市场营销策划_重点报告2.docxVIP

Original Sin Redux: Role of Duration Risk* Carol Bertaut Federal Reserve Board Valentina Bruno American University Hyun Song Shin Bank for International Settlements July 4, 2023 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