Local‐Currency Sovereign Risk on South African Government Bonds: The Role of Sovereign and Exchange Rate Risk as Drivers of Changes in Nominal Bond Yields
While local‐currency bond markets have become a dominant source of emerging‐market financing and an integral component of the global financial system, market‐observed measures of sovereign default risk are still based on foreign‐currency denominated debt. This paper assesses the Du–Schreger credit risk spread on loca...