Acta Univ. Agric. Silvic. Mendelianae Brun. 2017, 65, 1911-1916
Published online 2017-12-07

Valuation of Government Bonds: the Exchange Rate Is an Important Aspect

Blanka Francová

Department of Economics, Faculty of Business and Economics, Mendel University in Brno, Zemědělská 1, 613 00 Brno, Czech Republic

Interest rates are currently very low in the countries. In these countries bonds are issued with low or negative yields. In this paper, I empirically investigate the factors that affect the price of bonds. I follow international arbitrage pricing theory to determine the relationship between factors and the price of bonds. The international arbitrage pricing theory applies a multi‑linear regression model. The regression model is used for emerging markets and developing markets separately. I have a unique data set of 46 countries. The main data are the monthly returns on government bonds in the period 2010–2015. Exchange risk influences the bond prices. Currency movements can bring further yield for investors.


This research was funded by the Czech Science Foundation, grant No. 16-26353S “Sentiment and its Impact on Stock Markets”.


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