{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T02:08:33Z","timestamp":1740103713207,"version":"3.37.3"},"reference-count":18,"publisher":"Wiley","license":[{"start":{"date-parts":[[2020,8,26]],"date-time":"2020-08-26T00:00:00Z","timestamp":1598400000000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"funder":[{"name":"IPL","award":["UIDB\/04521\/2020"],"award-info":[{"award-number":["UIDB\/04521\/2020"]}]},{"DOI":"10.13039\/501100001871","name":"Funda\u00e7\u00e3o para a Ci\u00eancia e a Tecnologia","doi-asserted-by":"publisher","award":["UIDB\/04521\/2020"],"award-info":[{"award-number":["UIDB\/04521\/2020"]}],"id":[{"id":"10.13039\/501100001871","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Complexity"],"published-print":{"date-parts":[[2020,8,26]]},"abstract":"<jats:p>We reexamine the relationship between credit spreads and interest rates from a capital gain perspective of bond portfolio. Capital gain sensitivity between US BBB-rated bonds and Treasury bonds is weak and positive in normal periods, but strong and negative during recessions. In the upward phase of business cycles, changes in interest rates are fully reflected in the bond yields, leaving spreads unchanged, while in the downward phase, rates and spreads move in opposite directions. This alternation between two distinct regimes reconciles a long-standing division in the literature. We then discuss the efficiency of shorting Treasury bonds as a hedging strategy and policy suggestions.<\/jats:p>","DOI":"10.1155\/2020\/4159053","type":"journal-article","created":{"date-parts":[[2020,8,26]],"date-time":"2020-08-26T23:36:50Z","timestamp":1598485010000},"page":"1-13","source":"Crossref","is-referenced-by-count":2,"title":["Capital Gains Sensitivity of US BBB-Rated Debt to US Treasury Market: Markov-Switching Analyses"],"prefix":"10.1155","volume":"2020","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-6829-7021","authenticated-orcid":true,"given":"Mariya","family":"Gubareva","sequence":"first","affiliation":[{"name":"ISCAL \u2013 Lisbon Accounting and Business School, Instituto Polit\u00e9cnico de Lisboa, Av. Miguel Bombarda, 20, 1069-035 Lisbon, Portugal"},{"name":"SOCIUS\/CSG-Research in Social Sciences and Management, Rua Miguel Lupi, 20, 1249-078 Lisbon, Portugal"}]},{"given":"Ilias","family":"Chondrogiannis","sequence":"additional","affiliation":[{"name":"School of Slavonic and East European Studies, UCL-University College London, 16 Taviton Street, London WC1H 0BW, UK"}]}],"member":"311","reference":[{"volume":"814","journal-title":"Society for Economic Dynamics","year":"2016","key":"2"},{"volume-title":"A new take on the relationship between interest rates and credit spreads","year":"2018","key":"3"},{"key":"4","doi-asserted-by":"publisher","DOI":"10.2307\/2978814"},{"key":"5","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2012.06.011"},{"year":"1999","key":"6"},{"key":"7","doi-asserted-by":"publisher","DOI":"10.1016\/s0304-3878(00)00098-5"},{"key":"8","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfq005"},{"key":"9","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2018.11.017"},{"issue":"2","key":"10","first-page":"405","volume":"19","year":"2018","journal-title":"Annals of Economics and Finance"},{"key":"11","doi-asserted-by":"publisher","DOI":"10.1080\/1351847x.2017.1400452"},{"key":"15","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1984.tb04923.x"},{"year":"2008","key":"16"},{"key":"17","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2015.1088143"},{"key":"18","doi-asserted-by":"publisher","DOI":"10.1007\/s10479-017-2438-y"},{"key":"19","doi-asserted-by":"publisher","DOI":"10.1198\/073500102317351930"},{"key":"20","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-financial-110311-101808"},{"first-page":"1","volume-title":"Markov switching models in empirical finance","year":"2011","key":"21"},{"issue":"1","key":"22","first-page":"89","volume":"1","year":"2013","journal-title":"Review of Business and Economics Studies"}],"container-title":["Complexity"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/downloads.hindawi.com\/journals\/complexity\/2020\/4159053.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/downloads.hindawi.com\/journals\/complexity\/2020\/4159053.xml","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/downloads.hindawi.com\/journals\/complexity\/2020\/4159053.pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2020,8,26]],"date-time":"2020-08-26T23:36:56Z","timestamp":1598485016000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.hindawi.com\/journals\/complexity\/2020\/4159053\/"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2020,8,26]]},"references-count":18,"alternative-id":["4159053","4159053"],"URL":"https:\/\/doi.org\/10.1155\/2020\/4159053","relation":{},"ISSN":["1076-2787","1099-0526"],"issn-type":[{"type":"print","value":"1076-2787"},{"type":"electronic","value":"1099-0526"}],"subject":[],"published":{"date-parts":[[2020,8,26]]}}}